Specification tests for time-varying parameter models with stochastic volatility
提出一种简便技术，通过非中心参数化直接计算贝叶斯因子来检验系数和波动率的时变性，避免了边际似然的计算，并应用于G7国家通胀波动和美国NAIRU的时变性检验。
We propose an easy technique to test for time-variation in coefficients and volatilities. Specifically, by using a noncentered parameterization for state space models, we develop a method to directly calculate the relevant Bayes factor using the Savage–Dickey density ratio—thus avoiding the computation of the marginal likelihood altogether. The proposed methodology is illustrated via two empirical applications. In the first application, we test for time-variation in the volatility of inflation in the G7 countries. The second application investigates if there is substantial time-variation in the nonaccelerating inflation rate of unemployment (NAIRU) in the United States.