A New Bayesian Unit Root Test in Nonlinear Heteroskedastic Models
- 2013-10-28 (Mon.), 10:30 AM
- 中研院-統計所 2F 交誼廳
- 茶 會:上午10:10統計所二樓交誼廳
- Prof. Cathy W. S. Chen(陳 婉 淑 教授)
- 逢甲大學統計系
Abstract
This study proposes a Bayesian testing procedure to detect the presence of local non-stationarity in double Markov switching autoregressive GARCH models. To implement a test, a new posterior odds analysis is proposed that uses an adaptive Markov Chain Monte Carlo scheme, which includes a new extension to solve the likelihood identification problem of the autoregressive coefficient with a unit root. Our simulation study demonstrates that the proposed Bayesian test performs properly. Further, our empirical study confirms that the proposed method successfully detects the local non-stationarity in the double Markov switching autoregressive GARCH model.
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