Bayesian Unit Root Testing for Financial Time Series

摘要：

In times series analysis, unit root test is one of most important research topics. For time series data generated by autoregressive process, we propose a new and simple Bayesian approach for unit root testing based on Bays factor and powerful path sampling (Gelman & Meng, 1998). A real example is illustrated to show the effectiveness of our proposed approach.

关键词： unit root test autoregressive process bays factor path sampling

作者: WANG Guiyin ZHANG Jingyu LI Yong

作者单位: School of Business, Sun Yat-Sen University, Guangzhou, P.R.China, 510275 School of Software, Nanjing University, Nanjing, P.R.China, 210000

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 517-521

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）