A local unit root test in mean for financial time series

DOI10.1080/00949655.2015.1037765OpenAlexW1978323861MaRDI QIDQ5222373FDOQ5222373

Authors: Cathy W. S. Chen, Sangyeol Lee 

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2015.1037765

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zbMATH Keywords

GARCHBayesian hypothesis testingMarkov chain Monte Carlo methodmean reversionunit-root testsmooth transitionposterior odds ratio

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (2)

• The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach

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