Priors for unit root models
DOI10.1016/0304-4076(95)01771-2zbMATH Open0864.62011OpenAlexW1966883416WikidataQ57613521 ScholiaQ57613521MaRDI QIDQ1126464FDOQ1126464
Authors: Lara J. Wolfson, Joseph B. Kadane, Ngai Hang Chan 
Publication date: 22 June 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01771-2
Recommendations
elicitationsubjective priorfamily of piecewise conjugate prior distributionspredictive elicitation techniquestructural elicitation techniquesunit root model
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Asymptotic inference for nearly nonstationary AR(1) processes
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Title not available (Why is that?)
- Bayesian skepticism on unit root econometrics
- The Parameter Inference for Nearly Nonstationary Time Series
- Title not available (Why is that?)
- A Bayesian analysis of the unit root in real exchange rates
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (6)
- Dynamic modeling of mean-reverting spreads for statistical arbitrage
- Expert information and nonparametric Bayesian inference of rare events
- The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
- Priors about observables in vector autoregressions
- Bayesian model selection for unit root testing with multiple structural breaks
- Testing for unit roots in a Bayesian framework
Uses Software
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