Priors for unit root models

DOI10.1016/0304-4076(95)01771-2zbMath0864.62011OpenAlexW1966883416WikidataQ57613521 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

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

Mathematics Subject Classification ID

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

Related Items (6)

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

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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