Cointegration and Unit Root Tests: A Fully Bayesian Approach
To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis, one way to detect stochastic trends is to test if the series has unit roots, and for multivariate studies it is often relevant to search for sta...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-08-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/9/968 |