Meligkotsidou, Loukia; Tzavalis, Elias; Vrontos, Ioannis - In: Econometric Reviews 30 (2011) 2, pp. 208-249
In this article, a Bayesian approach is suggested to compare unit root models with stationary autoregressive models when the level, the trend, and the error variance are subject to structural changes (known as breaks) of an unknown date. Ignoring structural breaks in the error variance may be...