A Bayesian analysis of the unit root in real exchange rates
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Publication:758078
DOI10.1016/0304-4076(91)90014-5zbMATH Open0724.62105OpenAlexW2151645884MaRDI QIDQ758078FDOQ758078
Authors: Peter C. Schotman, Herman K. Van Dijk 
Publication date: 1991
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ageconsearch.umn.edu/record/272390
Recommendations
time seriesreal exchange ratesrandom walk hypothesisposterior odds analysisstationary AR(1) processunit root hypothesis
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Cited In (34)
- Bayesian unit root test for model with maintained trend
- Priors for unit root models
- Searching stationarity in the real exchange rates: Application of the SUR estimator
- Monte Carlo inference in econometric models with symmetric stable disturbances
- A Bayesian approach to the empirical valuation of bond options
- Bayes, Bernoullis, and Basel. Proceedings of the 1st Riverboat conference, April 29--May 4, 1993, Basel -- Amsterdam
- Title not available (Why is that?)
- Title not available (Why is that?)
- A robust Bayesian approach for unit root testing
- A local unit root test in mean for financial time series
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- 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
- Bayesian estimation of an extended local scale stochastic volatility model
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Bayesian significance testing and multiple comparisons from MCMC outputs
- Bayes estimates of muIti-criteria decision alternatives using Monte Carlo integration
- 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
- Bayesian inference in the triangular cointegration model using a jeffreys prior
- 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
- Dynamic variable selection with spike-and-slab process priors
- Bayesian unit root testing in unobserved-ARCH models
- Testing for unit roots in a Bayesian framework
- Bayesian reconciliation of return predictability
- A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- A numerical Bayesian test for cointegration of AR processes
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Management estimation in banking
- Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
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