Vosseler, Alexander and Weber, Enzo (2017) Bayesian analysis of periodic unit roots in the presence of a break. APPLIED ECONOMICS, 49 (38). pp. 3841-3862. ISSN 0003-6846, 1466-4283
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A Bayesian testing approach for a periodic unit root in quarterly and monthly data is presented. Further a Bayesian test is introduced to test for unit roots at (non)seasonal spectral frequencies. All procedures admit one structural break in the periodic trend function, where the occurrence of a break and the associated timing are treated as additional model parameters. A Bayesian model averaging (BMA) approach is proposed and power functions of the tests are computed. Overall the results indicate that the BMA periodic unit root test exhibits favourable test properties even in small samples. In an empirical application the presented testing procedures are used to test for (non)seasonal forms of unemployment persistence among OECD countries.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | SEASONAL ADJUSTMENT; CONSUMPTION; INTEGRATION; MODELS; TESTS; Bayesian model averaging; unemployment rates; periodic models; unit roots; structural break; C11; C12; C22; E24 |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig) Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 14 Dec 2018 12:57 |
| Last Modified: | 19 Feb 2019 14:21 |
| URI: | https://pred.uni-regensburg.de/id/eprint/27 |
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