Bayesian analysis of seasonal unit roots and seasonal mean shifts

DOI10.1016/S0304-4076(97)00018-3zbMath0880.62118OpenAlexW3122562921MaRDI QIDQ1362505

Richard Paap, Philip Hans Franses, Henk Hoek

Publication date: 12 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00018-3

zbMATH Keywords

Bayesian analysisseasonalityunit rootsstructural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (3)

Seasonal Unit Root Tests Under Structural Breaks* ⋮ Deterministic versus stochastic seasonal fractional integration and structural breaks ⋮ Seasonal unit root tests with seasonal mean shifts

Cites Work

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• Seasonal integration and cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Markov chains for exploring posterior distributions. (With discussion)
• Marginal Likelihood from the Gibbs Output
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications

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