https://github.com/avoss84/bayesian_unitroots
R code for paper 'Bayesian model selection for unit root testing with multiple structural breaks'
https://github.com/avoss84/bayesian_unitroots
bayesian-inference change-detection hypothesis-testing nonstationarity time-series-analysis
Last synced: over 1 year ago
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R code for paper 'Bayesian model selection for unit root testing with multiple structural breaks'
- Host: GitHub
- URL: https://github.com/avoss84/bayesian_unitroots
- Owner: AVoss84
- Created: 2022-08-15T11:46:31.000Z (almost 4 years ago)
- Default Branch: main
- Last Pushed: 2022-08-15T12:07:19.000Z (almost 4 years ago)
- Last Synced: 2025-03-26T15:54:28.046Z (over 1 year ago)
- Topics: bayesian-inference, change-detection, hypothesis-testing, nonstationarity, time-series-analysis
- Language: R
- Homepage:
- Size: 52.7 KB
- Stars: 1
- Watchers: 1
- Forks: 4
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# Source code
R source files for *Vosseler, Alexander (2016):* [*Bayesian model selection for unit root testing with multiple structural breaks*](https://www.sciencedirect.com/science/article/abs/pii/S0167947314002485) published in *Computational Statistics & Data Analysis (CSDA)*.
*bayes.urtest.R*: Main wrapper file for the unit root testing procedure
*rjbreak_ADF5/6.R*: Core algorithm as described in the paper, Reversible jump MCMC, which is called in bayes.urtest.R among others
*Unemployment_rates_data_analysis_Rev_Jump_unitroot.R*: Shows how unit root test can be applied to real time series