Bayesian skepticism on unit root econometrics

DOI10.1016/0165-1889(88)90050-4zbMath0647.62098OpenAlexW1992294071MaRDI QIDQ1104681

Christopher A. Sims

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90050-4

zbMATH Keywords

marginal significance levelsunit root hypotheses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15)

Related Items (33)

A ROBUST BAYESIAN APPROACH FOR UNIT ROOT TESTING ⋮ Characterising economic trends by Bayesian stochastic model specification search ⋮ Unit Roots: Bayesian Significance Test ⋮ Deciding between I(1) and I(0) ⋮ Reconciling the term structure of interest rates with the consumption-based ICAP model ⋮ Classical and Bayesian aspects of robust unit root inference ⋮ Testing for unit roots in a Bayesian framework ⋮ Structural change and unit roots ⋮ Unit root econometrics and economic nonlinearities ⋮ Bayesian model selection for unit root testing with multiple structural breaks ⋮ Testing of unit root and other nonstationary hypotheses in macroeconomic time series ⋮ Priors for unit root models ⋮ A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence ⋮ A bayesian analysis of trend determination in economic time series ⋮ Bayesian Unit Root Test for Time Series Models with Structural Breaks ⋮ Bayesian tests for unit root and multiple breaks ⋮ A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? ⋮ Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach ⋮ Asymptotic theory for linear diffusions under alternative sampling schemes ⋮ Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function ⋮ Confidence intervals for impulse responses under departures from normality ⋮ Model selection in the presence of nonstationarity ⋮ Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection ⋮ Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach ⋮ A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series ⋮ A local unit root test in mean for financial time series ⋮ A Bayesian analysis of the unit root in real exchange rates ⋮ Bayesian unit root test for model with maintained trend ⋮ The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective ⋮ Monte Carlo inference in econometric models with symmetric stable disturbances ⋮ Asymptotic Bayesian analysis based on a limited information estimator ⋮ In-fill asymptotic theory for structural break point in autoregressions ⋮ Limited information likelihood and Bayesian analysis

Cites Work

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• Bayes theory
• Asset Prices in an Exchange Economy
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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