Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis
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- Cathy W. S. Chen & Sangyeol Lee & Shu-Yu Chen, 2016. "Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach," Computational Statistics, Springer, vol. 31(1), pages 1-24, March.
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More about this item
KeywordsBayes factor; Dickey–Fuller test; Unit root; Stochastic volatility; Nonstationary;
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