Bayesian skepticism on unit root econometrics

DOI10.1016/0165-1889(88)90050-4MaRDI QIDQ1104681zbMATH OpenOpenAlexFDO

Authors Christopher A. Sims

Publication date 1988

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

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

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

Cites work

• scientific article; zbMATH DE number 3816886 (Why is no real title available?)
• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
• Asset Prices in an Exchange Economy
• Bayes theory
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Cited in

(33)

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

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