Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA
AbstractThis article discusses the use of Integrated Nested Laplace Approximations (INLA) in inference procedures and construction of unit root tests in stochastic volatility models. This approach allows to obtain accurate analytical approximations for the parameters and latent volatities, representing an alternative to methods based on Markov Chain Monte Carlo.
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Bibliographic InfoPaper provided by Economics Research Group, IBMEC Business School - Rio de Janeiro in its series IBMEC RJ Economics Discussion Papers with number 2012-05.
Date of creation: 04 Apr 2012
Date of revision:
Unit Roots; Stochastic Volatility; Integrated Nested Laplace Approximations;
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
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-17 (All new papers)
- NEP-ECM-2012-04-17 (Econometrics)
- NEP-ETS-2012-04-17 (Econometric Time Series)
- NEP-ORE-2012-04-17 (Operations Research)
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