Bayesian Unit Root Test for Time Series Models with Structural Break in Variance
AbstractThe present article considers Bayesian unit root test for autoregressive model involving structural break in variance. The posterior odds ratio for testing of unit root hypothesis against the alternative of break in variance has been derived under appropriate prior assumptions for the parameters. The theoretical results are applied to export data of selected ASEAN countries.
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Bibliographic InfoArticle provided by Economics and Econometrics Research Institute (EERI), Brussels in its journal Journal of Economics and Econometrics.
Volume (Year): 55 (2012)
Issue (Month): 1 ()
Autoregressive model; break in variance; prior distribution; posterior odds ratio.;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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