/bayesian_unitroots

R code for paper 'Bayesian model selection for unit root testing with multiple structural breaks'

Primary LanguageR

Source code

R source files for Vosseler, Alexander (2016): Bayesian model selection for unit root testing with multiple structural breaks 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