Bayesian Unit-Root Testing in Stochastic Volatility Models

Mike K P So and W K Li

Journal of Business & Economic Statistics, 1999, vol. 17, issue 4, 491-96

Abstract: This article uses a Bayesian unit-root test in stochastic volatility models. The time series of interest is the volatility that is unobservable. The unit-root testing is based on the posterior odds ratio, which is approximated by Markov-chain Monte Carlo methods. Simulations show that the testing procedure is efficient for moderate sample size. The unit-root hypothesis is rejected in seven market indexes, and some evidence of nonstationarity is observed in the TWSI of Taiwan.

Date: 1999
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:17:y:1999:i:4:p:491-96

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