Bayesian Unit Root Test for Time Series Models with Structural Breaks
by
Jitendra Kumar
Department of Statistics, University of Allahabad, Allahabad
Coauthors: Anoop Chaturvedi

The present paper considers the autoregressive models with trend component and augmentation term in the presence of structural breaks in the deterministic trend. The issue of presence of unit root has been explored from a Bayesian perspective. The models with single known break point, single unknown break point and multiple known break points, have been considered. The posterior odds ratios for the unit root hypothesis for these models have been derived under appropriate prior assumptions.

Date received: November 13, 2002

Copyright © 2002 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Mathematical Conference Abstracts. Document # cakd-08.