Bayesian Unit Root Test for Time Series Models with Structural Break in Variance

The present article considers Bayesian unit root test for autoregressive model involving structural break in variance. The posterior odds ratio for testing of unit root hypothesis against the alternative of break in variance has been derived under appropriate prior assumptions for the parameters. The theoretical results are applied to export data of selected ASEAN countries.

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Year of publication:	2012
Authors:	Kumar, Rishi ; Kumar, Jitendra ; Chaturvedi, Anoop
Published in:	Journal of Economics and Econometrics. - Economics and Econometrics Research Institute (EERI). - Vol. 55.2012, 1, p. 75-86
Publisher:	Economics and Econometrics Research Institute (EERI)
Subject:	Autoregressive model \| break in variance \| prior distribution \| posterior odds ratio

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Type of publication:	Article
Classification:	C11 - Bayesian Analysis ; C12 - Hypothesis Testing ; c18 ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011078547