A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series

DOI10.1080/07474938.2011.534046MaRDI QIDQ3086366zbMATHOpenAlexFDO

Authors Loukia Meligkotsidou, Elias Tzavalis, I. D. Vrontos

Publication date 30 March 2011

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2011.534046

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

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• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
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• The exact likelihood function for a mixed autoregressive-moving average process
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Cited in

(8)

• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
• Local power of panel unit root tests allowing for structural breaks
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
• Panel data unit root test with structural break: a Bayesian approach
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• scientific article; zbMATH DE number 7255573 (Why is no real title available?)
• Bayesian methods for change-point detection in long-range dependent processes

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