Testing for unit roots in a Bayesian framework

DOI10.1016/0304-4076(94)01663-KzbMath0844.62078OpenAlexW2026096907MaRDI QIDQ1899242

Michel Lubrano

Publication date: 1 September 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01663-k

zbMATH Keywords

initial conditionsprior informationstructural modelBayesian unit root test

Mathematics Subject Classification ID

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

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A ROBUST BAYESIAN APPROACH FOR UNIT ROOT TESTING, Unit Roots: Bayesian Significance Test, Bayesian inference in the triangular cointegration model using a jeffreys prior, Testing for unit roots in a Bayesian framework, 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 Unit Root Test for Time Series Models with Structural Breaks, Bayesian tests for unit root and multiple breaks, A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?, Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach, Exploring economic time series: a Bayesian graphical 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, Bayesian unit root test for model with maintained trend, The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective, Bayesian Comparison of ARIMA and Stationary ARMA Models

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