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Bayesian Analysis Of Integration At Different Frequencies In Quarterly Data

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  • Amisano, Gianni

Abstract

The paper provides a unifying framework for conducting Bayesian inference on the presence of seasonal and zero frequency unit roots in quarterly data. The main technique used is the analysis of posterior odds ratios. A new parameterization is provided for the model and the prior distributions implemented are discussed and justified. The analysis relies heavily on the application of a Gibbs sampling algorithm. Such techniques render the Bayesian approach more flexible and implementable, giving the applied researcher the possibility of specifying a vast range of prior distributions. The methods are applied to a set of UK quarterly series. Compared to previous studies, less evidence is found to support seasonal integration hypotheses.
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Suggested Citation

  • Amisano, Gianni, 1994. "Bayesian Analysis Of Integration At Different Frequencies In Quarterly Data," Economic Research Papers 268623, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:268623
    DOI: 10.22004/ag.econ.268623
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