Bayesian Estimation and Model Selection in the Generalised Stochastic Unit Root Model
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- Yang Fuyu & Leon-Gonzalez Roberto, 2010. "Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-38, September.
References listed on IDEAS
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More about this item
KeywordsStochastic Unit Root; MCMC; Bayesian;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-30 (All new papers)
- NEP-ECM-2010-01-30 (Econometrics)
- NEP-ETS-2010-01-30 (Econometric Time Series)
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