Priors for unit root models

DOI10.1016/0304-4076(95)01771-2zbMath0864.62011WikidataQ57613521 ScholiaQ57613521MaRDI QIDQ1126464

Lara J. Wolfson, Ngai Hang Chan, Joseph B. Kadane

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

zbMATH Keywords

elicitation; subjective prior; family of piecewise conjugate prior distributions; predictive elicitation technique; structural elicitation techniques; unit root model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

Related Items

The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis, Expert information and nonparametric Bayesian inference of rare events, Dynamic modeling of mean-reverting spreads for statistical arbitrage, Bayesian model selection for unit root testing with multiple structural breaks, Priors about observables in vector autoregressions, Testing for unit roots in a Bayesian framework

Uses Software

• elicit-normlin

Cites Work

• A Bayesian analysis of the unit root in real exchange rates
• Asymptotic inference for nearly nonstationary AR(1) processes
• Bayesian skepticism on unit root econometrics
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• The Parameter Inference for Nearly Nonstationary Time Series
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