Bayesian Unit Root Test for Time Series Models with Structural Break in Variance
Jitendra Kumar () and
Anoop Chaturvedi ()
Journal of Economics and Econometrics, 2012, vol. 55, issue 1, 75-86
The present article considers Bayesian unit root test for autoregressive model involving structural break in variance. The posterior odds ratio for testing of unit root hypothesis against the alternative of break in variance has been derived under appropriate prior assumptions for the parameters. The theoretical results are applied to export data of selected ASEAN countries.
Keywords: Autoregressive model; break in variance; prior distribution; posterior odds ratio. (search for similar items in EconPapers)
JEL-codes: C11 C12 C18 C22 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eei:journl:v:55:y:2012:i:1:p:75-86
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