A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yiannis Karavias & Elias Tzavalis, "undated".
"The power performance of fixed-T panel unit root tests allowing for structural breaks,"
13/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Karavias, Yiannis & Tzavalis, Elias, 2013. "The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks," MPRA Paper 46012, University Library of Munich, Germany.
More about this item
KeywordsBayesian inference; Model comparison; Autoregressive models; Unit roots; Structural breaks;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-02 (All new papers)
- NEP-ECM-2004-08-09 (Econometrics)
- NEP-ETS-2004-08-02 (Econometric Time Series)
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