Bayesian Analysis of Random Coefficient AutoRegressive Models
نویسندگان
چکیده
Random Coefficient AutoRegressive (RCAR) models are obtained by introducing random coefficients to an AR or more generally ARMA model. These models have second order properties similar to that of ARCH and GARCH models. In this article, a Bayesian approach to estimate the first order RCAR models is considered. A couple of Bayesian testing criteria for the unit-root hypothesis are proposed: one is based on the Posterior Interval, and the other one is based on Bayes Factor. In the end, two real life examples involving the daily stock volume transaction data are presented to show the applicability of the proposed methods.
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