The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective

DOI10.1016/S0304-4076(99)00077-9zbMath0966.62059OpenAlexW2084545158MaRDI QIDQ1584765

Paul Newbold, J. M. Marriott

Publication date: 17 August 2001

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00077-9

zbMATH Keywords

Bayesian analysisstructural breaksposterior oddsunit autoregressive roots

Mathematics Subject Classification ID

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

Related Items

Bayesian model selection for unit root testing with multiple structural breaks ⋮ A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence ⋮ Bayesian tests for unit root and multiple breaks ⋮ Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach ⋮ A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series ⋮ A local unit root test in mean for financial time series

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