We propose a couple of Bayesian testing criteria for the unit root hypothesis of first order RCAR models: one is based on the Posterior Interval, and the other ...
Random Coefficient AutoRegressive (RCAR) models are obtained by introducing random coefficients to an AR or more generally ARMA model.
The frequentist performance of the Bayes estimators is studied and it is shown that they have good coverage properties and a couple of Bayesian testing ...
Nov 24, 2008 · Random Coefficient AutoRegressive (RCAR) models are obtained by introducing random coefficients to an AR or more generally ARMA model.
In this article, we have developed Bayesian estimation and unit-root testing pro- cedures for RCAR(1) Models. Using extensive simulation experiments we ...
A Bayesian approach to estimate the first order RCAR models is considered and a couple of Bayesian testing criteria for the unit-root hypothesis are ...
A Bayesian approach to unit root testing is also proposed, based on the comparison of stationary autoregressive models with multiple breaks to their counterpart ...
Oct 22, 2024 · In this article, a Bayesian approach to estimate the first order RCAR models is considered. A couple of Bayesian testing criteria for the unit- ...
... AR(1) models. We use two Bayesian methods to test for the unit-root hypothesis: one is based on the Posterior Interval (PI), and the other one is by means ...
This test evaluates whether the AR(1) coefficient is one in a data model like y t = ϕ y t–1 + other terms. In other words, unit root tests are based on testing ...