Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA

Márcio Laurini and Márcio Diniz
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Márcio Diniz: Departament of Statistics - UFSCAR

No 2012-05, IBMEC RJ Economics Discussion Papers from Economics Research Group, IBMEC Business School - Rio de Janeiro

Abstract: This article discusses the use of Integrated Nested Laplace Approximations (INLA) in inference procedures and construction of unit root tests in stochastic volatility models. This approach allows to obtain accurate analytical approximations for the parameters and latent volatities, representing an alternative to methods based on Markov Chain Monte Carlo.

Keywords: Unit Roots; Stochastic Volatility; Integrated Nested Laplace Approximations (search for similar items in EconPapers)
JEL-codes: C11 C12 C22 (search for similar items in EconPapers)
Date: 2012-04-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:ibr:dpaper:2012-05

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