A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series
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DOI: 10.1080/07474938.2011.534046
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Cited by:
- Karavias, Yiannis & Tzavalis, Elias, 2013.
"The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks,"
MPRA Paper
46012, University Library of Munich, Germany.
- Yiannis Karavias & Elias Tzavalis, 2013. "The power performance of fixed-T panel unit root tests allowing for structural breaks," Discussion Papers 13/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Varun Agiwal & Jitendra Kumar, 2020. "Bayesian estimation for threshold autoregressive model with multiple structural breaks," METRON, Springer;Sapienza Università di Roma, vol. 78(3), pages 361-382, December.
- Yiannis Karavias & Elias Tzavalis, 2017. "Local power of panel unit root tests allowing for structural breaks," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1123-1156, November.
- Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2012. "A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(9), pages 1975-1990, May.
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Keywords
Autoregressive models; Bayesian inference; Model comparison; Structural breaks; Unit roots;All these keywords.
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