Bayesian tests for unit root and multiple breaks

DOI10.1080/02664760903173450OpenAlexW2039495783MaRDI QIDQ5123661

Dong Wan Shin, Man-Suk Oh

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903173450

zbMATH Keywords

Markov chain Monte Carlounit root testmultiple breaks

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data
• Unit root tests based on IV estimators for time series with multiple breaks
• Bayesian skepticism on unit root econometrics
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• Testing for unit roots in a Bayesian framework
• Monte Carlo methods in Bayesian computation
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Residual‐based block bootstrap unit root testing in the presence of trend breaks
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio

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