A New Bayesian Unit Root Test in Stochastic Volatility Models
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |