A local unit root test in mean for financial time series

DOI10.1080/00949655.2015.1037765OpenAlexW1978323861MaRDI QIDQ5222373

Sangyeol Lee, Cathy W. S. Chen

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2015.1037765

zbMATH Keywords

Markov chain Monte Carlo methodGARCHmean reversionBayesian hypothesis testingunit-root testsmooth transitionposterior odds ratio

Mathematics Subject Classification ID

Statistics (62-XX)

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