Bayesian Analysis of Integration at Different Frequencies in Quarterly Data

Gianni Amisano

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: The paper provides a unifying framework for conducting Bayesian inference on the presence of seasonal and zero frequency unit roots in quarterly data. The main technique used is the analysis of posterior odds ratios. A new parameterization is provided for the model and the prior distributions implemented are discussed and justified. The analysis relies heavily on the application of a Gibbs sampling algorithm. Such techniques render the Bayesian approach more flexible and implementable, giving the applied researcher the possibility of specifying a vast range of prior distributions. The methods are applied to a set of UK quarterly series. Compared to previous studies, less evidence is found to support seasonal integration hypotheses.

Keywords: Seasonal unit roots; Bayesian analysis; Posterior odds ratios; Monte Carlo Integration; Gibbs sampling (search for similar items in EconPapers)
Date: Written

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Persistent link: http://EconPapers.repec.org/RePEc:wrk:warwec:426

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