Specification tests for time-varying parameter models with stochastic volatility
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DOI: 10.1080/07474938.2016.1167948
Abstract: ABSTRACT We propose an easy technique to test for time-variation in coefficients and volatilities. Specifically, by using a noncentered parameterization for state space models, we develop a method to directly calculate the relevant Bayes factor… read more here.
Keywords: volatility; time varying; tests time; time ... See more keywords