Priors for unit root models

DOI10.1016/0304-4076(95)01771-2MaRDI QIDQ1126464zbMATHOpenAlexWikidataFDO

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

zbMATH Keywords

elicitationsubjective priorfamily of piecewise conjugate prior distributionspredictive elicitation techniquestructural elicitation techniquesunit root model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Bayesian unit root testing: the effect of choice of prior on test outcomes
• Testing for unit roots in a Bayesian framework
• A robust Bayesian approach for unit root testing
• scientific article; zbMATH DE number 1522732

Cites work

• scientific article; zbMATH DE number 3844820 (Why is no real title available?)
• scientific article; zbMATH DE number 4102269 (Why is no real title available?)
• scientific article; zbMATH DE number 3694384 (Why is no real title available?)
• scientific article; zbMATH DE number 3778582 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• 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

Cited in

(6)

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

Describes a project that uses

Uses Software

• elicit-normlin

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