A bayesian analysis of trend determination in economic time series

DOI10.1080/07474939408800290zbMath0831.62102OpenAlexW1968963933MaRDI QIDQ4853083

Eric Zivot, Peter C. B. Phillips

Publication date: 13 February 1996

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

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d10/d1002.pdf

zbMATH Keywords

unit roothypergeometric functionstructural changesimulation methodsflat priorsampling propertiesgeneral autoregressive modelsBayesian posterior analysisfragile inferenceignorance priorLaplace approximation to multivariate integralsmodified information matrix-based priormultiple lag autoregressive modelstrend determination

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

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Classical and Bayesian aspects of robust unit root inference, Bayesian model selection for unit root testing with multiple structural breaks, Testing of unit root and other nonstationary hypotheses in macroeconomic time series, A bayesian analysis of trend determination in economic time series, Truncating estimation for the change in stochastic trend with heavy-tailed innovations, Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach

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