Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA
This 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.
|Date of creation:||04 Apr 2012|
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