Bayesian Unit Root Test for Time Series Models with Structural Break in Variance
The 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.
Volume (Year): 55 (2012)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Avenue de Beaulieu, 1160 Brussels|
Phone: +322 299 3523
Fax: +322 299 3523
Web page: http://www.eeri.eu/index.htm
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:eei:journl:v:55:y:2012:i:1:p:75-86. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julia van Hove)
If references are entirely missing, you can add them using this form.