Unit roots: Bayesian significance test

DOI10.1080/03610926.2010.508148MaRDI QIDQ2892623zbMATH OpenOpenAlexFDO

Authors Julio Michael Stern, Márcio Augusto Diniz, Carlos A. B. Pereira

Publication date 19 June 2012

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://philarchive.org/rec/STEURB

zbMATH Keywords

time series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A Bayesian reflection on surfaces
• A STATISTICAL PARADOX
• Bayesian evidence test for precise hypotheses
• Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Bayesian skepticism on unit root econometrics
• Global optimization of statistical functions with simulated annealing
• scientific article; zbMATH DE number 3934086 (Why is no real title available?)
• scientific article; zbMATH DE number 3061365 (Why is no real title available?)
• Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
• On the Bayesianity of Pereira-Stern tests
• Testing for unit roots in a Bayesian framework
• Understanding Unit Rooters: A Helicopter Tour

Cited in

(11)

• Testing for unit roots in a Bayesian framework
• The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
• Optimization models for reaction networks: information divergence, quadratic programming and Kirchhoff's laws
• A Bayesian significance test of the stationarity of regression parameters
• Understanding Unit Rooters: A Helicopter Tour
• On the stability of the unit root test
• Bayesian unit root testing for time series with heavy distribution
• Bayesian unit root testing: the effect of choice of prior on test outcomes
• A local unit root test in mean for financial time series
• An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
• BIC-based unit-root detection: simulation-based evidence

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