A robust Bayesian approach for unit root testing

DOI10.1017/S0266466607070193MaRDI QIDQ2886951zbMATH OpenOpenAlexFDO

Authors Caterina Conigliani, Fulvio Spezzaferri

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

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Bayesian analysis of the unit root in real exchange rates
• Alternative Bayes factors for model selection
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• Bayesian skepticism on unit root econometrics
• Consistent fractional Bayes factor for nested normal linear models
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Properties of intrinsic and fractional Bayes factors
• Sensitivity of the fractional Bayes factor to prior distributions
• Testing for unit roots in a Bayesian framework
• The Intrinsic Bayes Factor for Model Selection and Prediction
• Understanding Unit Rooters: A Helicopter Tour

Cited in

(15)

• Priors for unit root models
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• Testing for unit roots in a Bayesian framework
• Bayesian unit root test for model with maintained trend
• Unit roots: Bayesian significance test
• Unit root test of autoregressive time series model with partially linear time trend: a Bayesian approach
• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Understanding Unit Rooters: A Helicopter Tour
• On the stability of the unit root test
• scientific article; zbMATH DE number 1522732 (Why is no real title available?)
• Bayesian unit root testing for time series with heavy distribution
• Bayesian unit root testing: the effect of choice of prior on test outcomes
• A local unit root test in mean for financial time series
• An efficiency Bayesian unit root test in unobserved-ARCH models
• BIC-based unit-root detection: simulation-based evidence

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