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

DOI10.1080/07474938.2011.534046zbMATH Open1209.62202OpenAlexW2058874951MaRDI QIDQ3086366FDOQ3086366

Elias Tzavalis, Loukia Meligkotsidou, 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

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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)

Cites Work

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• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Bayes Factors
• Monte Carlo strategies in scientific computing
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• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Structural breaks with deterministic and stochastic trends
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Distribution theory for unit root tests with conditional heteroskedasticity
• Understanding Unit Rooters: A Helicopter Tour
• Bayesian skepticism on unit root econometrics
• The exact likelihood function for a mixed autoregressive-moving average process
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• Testing for unit roots in a Bayesian framework
• A Bayesian analysis of the unit root in real exchange rates
• On regression-based tests for persistence in logarithmic volatility models

Cited In (8)

• Title not available (Why is that?)
• 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?
• Title not available (Why is that?)
• Local power of panel unit root tests allowing for structural breaks
• Bayesian methods for change-point detection in long-range dependent processes
• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective

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