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.

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Year of publication:	2012-04-04
Authors:	Laurini, Márcio ; Diniz, Márcio Alves
Institutions:	IBMEC Business School - Rio de Janeiro
Subject:	Unit Roots \| Stochastic Volatility \| Integrated Nested Laplace Approximations

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Extent:	application/pdf
Series:	IBMEC RJ Economics Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2012-05
Classification:	C11 - Bayesian Analysis ; C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010843616