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

Vosseler, Alexander ; Weber, Enzo



Abstract

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 ...

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