Bayesian Unit Root Test for Time Series Models with Structural Breaks

DOI10.1080/01966324.2007.10737699zbMath1141.62012WikidataQ58308765 ScholiaQ58308765MaRDI QIDQ3511924

Anoop Chaturvedi, Jitendra Kumar

Publication date: 11 July 2008

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.2007.10737699

zbMATH Keywords

autoregressive model; prior distribution; posterior odds ratio

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

Related Items

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Cites Work

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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• A Bayesian analysis of the unit root in real exchange rates
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• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• Unit Roots, Cointegration, and Structural Change