A ROBUST BAYESIAN APPROACH FOR UNIT ROOT TESTING
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Publication:2886951
DOI10.1017/S0266466607070193zbMath1237.62114OpenAlexW2109175762MaRDI QIDQ2886951
Fulvio Spezzaferri, C. Conigliani
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070193
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35) Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- A Bayesian analysis of the unit root in real exchange rates
- Bayesian skepticism on unit root econometrics
- Properties of intrinsic and fractional Bayes factors
- Testing for unit roots in a Bayesian framework
- The Intrinsic Bayes Factor for Model Selection and Prediction
- Understanding Unit Rooters: A Helicopter Tour
- Bayesian Comparison of ARIMA and Stationary ARMA Models
- Alternative Bayes factors for model selection
- On the inverses of some patterned matrices arising in the theory of stationary time series
- Sensitivity of the fractional Bayes factor to prior distributions
- Consistent fractional Bayes factor for nested normal linear models
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