Bayesian Unit Root Test in Nonnormal AR(1) Model

DOI10.1111/1467-9892.00185zbMath0958.62084OpenAlexW2012182769MaRDI QIDQ2703260

Hikaru Hasegawa, Tran Van Hoa, Anoop Chaturvedi

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00185

zbMATH Keywords

cumulantsposterior odds ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Non-Markovian processes: hypothesis testing (62M07)

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Bayesian Unit Root Test for Time Series Models with Structural Breaks ⋮ Bayesian unit root test for model with maintained trend

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