McCulloch, Robert E.; Tsay, Ruey S. - In: Econometric Theory 10 (1994) 3-4, pp. 596-608
This paper proposes a general Bayesian framework for distinguishing between trend- and difference-stationarity. Usually, in model selection, we assume that all of the data were generated by one of the models under consideration. In studying time series, however, we may be concerned that the...