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The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective

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  • Marriott, John
  • Newbold, Paul

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  • Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
    • Handle: RePEc:eee:econom:v:98:y:2000:i:1:p:1-25
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    12. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-448, November.
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    Cited by:

    1. Alexander Vosseler & Enzo Weber, 2017. "Bayesian analysis of periodic unit roots in the presence of a break," Applied Economics, Taylor & Francis Journals, vol. 49(38), pages 3841-3862, August.
    2. Massimo Caruso, 2004. "Infrequent Shocks, Output Persistence and Economic Growth," Manchester School, University of Manchester, vol. 72(2), pages 243-260, March.
    3. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Markku Lanne & Arto Luoma & Jani Luoto, 2012. "Bayesian Model Selection And Forecasting In Noncausal Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(5), pages 812-830, August.
    5. Brian Hanlon & Catherine Forbes, 2002. "Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression," Monash Econometrics and Business Statistics Working Papers 8/02, Monash University, Department of Econometrics and Business Statistics.
    6. Kelvin Balcombe & Iain Fraser & Abhijit Sharma, 2011. "Bayesian model averaging and identification of structural breaks in time series," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3805-3818.
    7. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary University of London, School of Economics and Finance.
    8. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
    9. Hultblad Brigitta & Karlsson Sune, 2008. "Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-29, September.
    10. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    11. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
    12. Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.
    13. Meligkotsidou, Loukia & Tzavalis, Elias & Vrontos, Ioannis, 2017. "On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks," Econometrics and Statistics, Elsevier, vol. 4(C), pages 70-90.

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