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Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA

Author

Listed:
  • Márcio Laurini

    (IBMEC Business School)

  • Márcio Alves Diniz

    (Departament of Statistics - UFSCAR)

Abstract

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.

Suggested Citation

  • Márcio Laurini & Márcio Alves Diniz, 2012. "Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA," IBMEC RJ Economics Discussion Papers 2012-05, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  • Handle: RePEc:ibr:dpaper:2012-05
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    File URL: http://professores.ibmecrj.br/erg/dp/papers/dp201205.pdf
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    More about this item

    Keywords

    Unit Roots; Stochastic Volatility; Integrated Nested Laplace Approximations;

    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; Diffusion Processes

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