An improved Bayesian unit root test in stochastic volatility models

• المؤلفون الرئيسيون: LI, Yong, Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Bayes factor; Markov chain Monte Carlo; Posterior odds ratio; Stochastic volatility models; Unit root testing; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2311; https://ink.library.smu.edu.sg/context/soe_research/article/3310/viewcontent/aef200104_pv.pdf
• المؤسسة: Singapore Management University

A new posterior odds analysis is developed to test for a unit root in volatilitydynamics in the context of stochastic volatility models. Our analysis extendsthe Bayesian unit root test of So and Li (1999) in two important ways. First,a mixed informative prior distribution with a random weight is int...