Bayesian Unit Root Testing for Financial Time Series

被引：0

作者：

Wang Guiyin ^{[1
]}

Zhang Jingyu ^{[2
]}

Li Yong ^{[1
]}

机构：

[1] Sun Yat Sen Univ, Sch Business, Guangzhou 510275, Guangdong, Peoples R China

[2] Nanjing Univ, Sch Software, Nanjing 210000, Jiangsu, Peoples R China

来源：

DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING | 2010年

关键词：

Unit root test; Autoregressive process; Bays factor; Path sampling;

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

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.

引用

页码：517 / +

页数：3

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