Understanding Unit Rooters: A Helicopter Tour

DOI10.2307/2938280MaRDI QIDQ3989217zbMATH OpenOpenAlexFDO

Authors Christopher A. Sims, Harald Uhlig

Publication date 28 June 1992

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.21034/dp.4

zbMATH Keywords

asymptotic equivalence to Bayesian posterior tail probabilityautoregressive modelslikelihood principlenonstationary dynamic modelsp-valuesunit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(31)

• A Bayesian analysis of moving average processes with time-varying parameters
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
• Asymptotic Bayesian analysis based on a limited information estimator
• Is there a unit root in U.S. real GNP?
• Deciding between I(1) and I(0)
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Using a likelihood perspective to sharpen econometric discourse: Three examples
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• Characterising economic trends by Bayesian stochastic model specification search
• Bayesian model selection for unit root testing with multiple structural breaks
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Structural change and unit roots
• Unit root econometrics and economic nonlinearities
• Frequentist properties of Bayesian inequality tests
• Bayesian unit root test for model with maintained trend
• A robust Bayesian approach for unit root testing
• Unit roots: Bayesian significance test
• Predictable returns and asset allocation: should a skeptical investor time the market?
• A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
• DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE
• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
• A bayesian analysis of trend determination in economic time series
• Asymptotic theory for linear diffusions under alternative sampling schemes
• Objective priors for causal \(\mathrm{AR}(p)\) with partial autocorrelations
• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• In-fill asymptotic theory for structural break point in autoregressions
• Higher‐order asymptotics of minimax estimators for time series
• Improving monetary policy models
• Comparing dynamic equilibrium models to data: a Bayesian approach

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