A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series

DOI10.1080/07474938.2011.534046zbMath1209.62202OpenAlexW2058874951MaRDI QIDQ3086366

Elias Tzavalis, Loukia Meligkotsidou, Ioannis D. Vrontos

Publication date: 30 March 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2011.534046

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items (6)

A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence ⋮ A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Local power of panel unit root tests allowing for structural breaks

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