Go to content
UR Home

Bayesian analysis of periodic unit roots in the presence of a break

Vosseler, Alexander ; Weber, Enzo


A Bayesian testing approach for a periodic unit root in quarterly and monthly data is presented. Further a Bayesian test is introduced to test for unit roots at (non)seasonal spectral frequencies. All procedures admit one structural break in the periodic trend function, where the occurrence of a break and the associated timing are treated as additional model parameters. A Bayesian model averaging ...


Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons