Bayesian model selection for unit root testing with multiple structural breaks
DOI10.1016/J.CSDA.2014.08.016zbMATH Open1466.62207OpenAlexW2081617213MaRDI QIDQ1659151FDOQ1659151
Authors: Alexander Vosseler 
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2014.08.016
Recommendations
Markov chain Monte CarloBayesian model selectionunit root testmultiple structural breaksOECD unemployment rates
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to economics (62P20)
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Cited In (10)
- Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
- Unit roots and structural breaks in OECD unemployment
- Forecasting seasonal time series data: a Bayesian model averaging approach
- A local unit root test in mean for financial time series
- Bayesian Unit Root Test for Time Series Models with Structural Breaks
- Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
- The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
- Bayesian estimation and model selection in the generalized stochastic unit root model
- Bayesian tests for unit root and multiple breaks
- A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
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