It has now been confirmed to be true.
Thanks to AICN:
“Hi Harry, always have been a fan of the website. just writing to let you know that Bill Murray did piece in this Sunday’s Mail on Sunday supplement where he confirmed he will be in Ghostbusters 3 but as a ghost. don’t know if it’s new to you but I thought you might be interested. If you want a copy of the article, let me know.
I actually like the idea of him being a ghost. I think it could be a great twist on the story. I do hope they explain how he becomes a ghost in the film.
What do you think?