A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series
提出贝叶斯方法比较单位根与平稳自回归模型，允许水平、趋势和误差方差存在未知日期的结构变化，通过模拟和金融数据应用验证方法对误差方差变化的检测能力。
In this article, a Bayesian approach is suggested to compare unit root models with stationary autoregressive models when the level, the trend, and the error variance are subject to structural changes (known as breaks) of an unknown date. Ignoring structural breaks in the error variance may be responsible for not rejecting the unit root hypothesis, even if allowance is made in the inferential procedures for breaks in the mean. The article utilizes analytic and Monte Carlo integration techniques for calculating the marginal likelihoods of the models under consideration, in order to compute the posterior model probabilities. The performance of the method is assessed by simulation experiments. Some empirical applications of the method are conducted with the aim to investigate if it can detect structural breaks in financial series, especially with changes in the error variance.