In this paper, a Bayesian approach is suggested to compare unit root models with stationary models when both the level and the error variance are subject to structural changes (known as breaks) of an unknown date. The paper utilizes analytic and Monte Carlo integration techniques for calculating...

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...

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...