Bayesian Unit Root Test for Time Series Models with Structural Breaks

DOI10.1080/01966324.2007.10737699zbMath1141.62012OpenAlexW2031798577WikidataQ58308765 ScholiaQ58308765MaRDI QIDQ3511924

Anoop Chaturvedi, Jitendra Kumar

Publication date: 11 July 2008

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.2007.10737699

zbMATH Keywords

autoregressive modelprior distributionposterior odds ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (1)

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Cites Work

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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• A Bayesian analysis of the unit root in real exchange rates
• Bayesian skepticism on unit root econometrics
• Testing for unit roots in a Bayesian framework
• Bayesian Unit Root Test in Nonnormal AR(1) Model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Understanding Unit Rooters: A Helicopter Tour
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• Unit Roots, Cointegration, and Structural Change

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