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Bayesian unit root inference in the Hamilton model

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Classical and Bayesian aspects of robust unit root inference

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On uniformization for continuous-time Markov chains

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Nonstationarity in GARCH models : a Bayesian analysis

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Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

Persistent link: https://www.econbiz.de/10011302135