A New Bayesian Unit Root Test in Stochastic Volatility Models

• Main Authors: LI, Yong, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Bayes factor; Mixed Prior; Markov Chain Monte Carlo; Posterior odds ratio; Stochastic volatility models; Unit root testing.; Econometrics; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/1240; https://ink.library.smu.edu.sg/context/soe_research/article/2239/viewcontent/Paper_14_2012.pdf
• Institution: Singapore Management University

A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. This analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business Economic Statistics) in two important ways. First, a numerically more sta...