IDEAS home Printed from https://ideas.repec.org/p/wrk/warwec/426.html
   My bibliography  Save this paper

Bayesian Analysis of Integration at Different Frequencies in Quarterly Data

Author

Listed:
  • Amisano, Gianni

Abstract

The paper provides a unifying framework for conducting Bayesian inference on the presence of seasonal and zero frequency unit roots in quarterly data. The main technique used is the analysis of posterior odds ratios. A new parameterization is provided for the model and the prior distributions implemented are discussed and justified. The analysis relies heavily on the application of a Gibbs sampling algorithm. Such techniques render the Bayesian approach more flexible and implementable, giving the applied researcher the possibility of specifying a vast range of prior distributions. The methods are applied to a set of UK quarterly series. Compared to previous studies, less evidence is found to support seasonal integration hypotheses.

Suggested Citation

  • Amisano, Gianni, 1994. "Bayesian Analysis of Integration at Different Frequencies in Quarterly Data," The Warwick Economics Research Paper Series (TWERPS) 426, University of Warwick, Department of Economics.
    • Handle: RePEc:wrk:warwec:426
    as

    Download full text from publisher

    File URL: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/1989-1994/twerp426.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wrk:warwec:426. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Margaret Nash (email available below). General contact details of provider: https://edirc.repec.org/data/dewaruk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.