A bayesian analysis of trend determination in economic time series

DOI10.1080/07474939408800290MaRDI QIDQ4853083zbMATH OpenOpenAlexFDO

Authors Eric Zivot, Peter C. B. Phillips

Publication date 13 February 1996

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d10/d1002.pdf

zbMATH Keywords

hypergeometric functionstructural changeunit rootsimulation methodsflat priorsampling propertiesgeneral autoregressive modelsBayesian posterior analysisfragile inferenceignorance priorLaplace approximation to multivariate integralsmodified information matrix-based priormultiple lag autoregressive modelstrend determination

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• scientific article; zbMATH DE number 1522732

Cites work

• scientific article; zbMATH DE number 4013835 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
• A Bayesian approach to retrospective identification of change-points
• A bayesian analysis of trend determination in economic time series
• Accurate Approximations for Posterior Moments and Marginal Densities
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Bayesian skepticism on unit root econometrics
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Some Bayesian Inferences for a Changing Linear Model
• Statistical decision theory and Bayesian analysis. 2nd ed
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Time Series Regression with a Unit Root
• Trends and random walks in macroeconomic time series
• Understanding Unit Rooters: A Helicopter Tour

Cited in

(16)

• Bayesian near-boundary analysis in basic macroeconomic time-series models☆
• Characterising economic trends by Bayesian stochastic model specification search
• Consideration of trends in time series
• A bayesian analysis of trend determination in economic time series
• Trends and cycles in economic time series: a Bayesian approach
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Stochastic and deterministic trend models
• Truncating estimation for the change in stochastic trend with heavy-tailed innovations
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
• Deciding between I(1) and I(0)
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
• Exploring economic time series: a Bayesian graphical approach
• Classical and Bayesian aspects of robust unit root inference
• Bayesian model selection for unit root testing with multiple structural breaks
• Bayesian estimation and model selection in the generalized stochastic unit root model
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function

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