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Bayesian tests for unit root and multiple breaks

Title
Bayesian tests for unit root and multiple breaks
Authors
Oh M.-S.Shin D.W.
Ewha Authors
오만숙신동완
SCOPUS Author ID
오만숙scopus; 신동완scopus
Issue Date
2010
Journal Title
Journal of Applied Statistics
ISSN
0266-4763JCR Link
Citation
vol. 37, no. 11, pp. 1863 - 1874
Indexed
SCIE; SCOPUS WOS scopus
Abstract
A Bayesian approach is considered for identifying sources of nonstationarity for models with a unit root and breaks. Different types of multiple breaks are allowed through crash models, changing growth models, and mixed models. All possible nonstationary models are represented by combinations of zero or nonzero parameters associated with time trends, dummy for breaks, or previous levels, for which Bayesian posterior probabilities are computed. Multiple tests based on Markov chain Monte Carlo procedure sare implemented. The proposed method is applied to a real data set, the Korean GDP data set, showing a strong evidence for two breaks rather than the usual unit root or one break. © 2010 Taylor & Francis.
DOI
10.1080/02664760903173450
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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