A bayesian analysis of trend determination in economic time series

DOI10.1080/07474939408800290zbMath0831.62102MaRDI QIDQ4853083

Peter C. B. Phillips, Eric Zivot

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

unit root; hypergeometric function; structural change; simulation methods; flat prior; sampling properties; general autoregressive models; Bayesian posterior analysis; fragile inference; ignorance prior; Laplace approximation to multivariate integrals; modified information matrix-based prior; multiple lag autoregressive models; trend determination

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62F15: Bayesian inference

91B84: Economic time series analysis

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