An efficiency Bayesian unit root test in Unobserved-ARCH models

DOI10.1080/03610918.2015.1134570zbMath1377.62213OpenAlexW2565501594MaRDI QIDQ5373901

Fazlolah Lak, Behzad Gholizadeh, Mahmoud Afshari

Publication date: 27 October 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1134570

zbMATH Keywords

Bayes factorunit rootGibbs samplingMonte Carlo Markov chainautoregressive conditional heteroscedasticityunobserved-ARCH models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Non-Markovian processes: hypothesis testing (62M07)

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