Bayesian analysis of seasonal unit roots and seasonal mean shifts
January 1997
Article
pp 359-380.
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In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean shifts instead of seasonal stochastic trends. This leads to analysing seasonal unit roots in the presence of mean shifts using Bayesian techniques. Our method is illustrated using several simulated and empirical data.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- C11 : Bayesian Analysis
- C12 : Hypothesis Testing
- C22 : Time-Series Models; Dynamic Quantile Regressions
Automatically Extracted Terms
- unit roots
- parameter
- shift
- series
- model
- time series
- econometrics
- consumption
- analysis
- bayesian
- hypothesis
- odds ratio
- franse
- 359-380
- journal
- distribution
- unit root
- presence
- al ./journal
- result
