Structural change and unit roots
From MaRDI portal
Publication:1909372
DOI10.1016/0378-3758(95)00031-3zbMath0839.62103OpenAlexW2067818674MaRDI QIDQ1909372
Publication date: 1 May 1996
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-3758(95)00031-3
surveydifference stationaritystructural breakssequential testsclassical approachtrend breakstests for unit rootsparameter constancy testsBayesian literaturerecursive tests
Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Bayesian inference (62F15)
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SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration, Detecting the number of structural breaks, Bayesian analysis of autoregressive time series with change points, A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
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