| Автор | Zivot, Eric |
| Дата выпуска | 1994 |
| dc.description | In this paper we extend some of Phillips's [4] results to nonlinear unobserved components models and develop a posterior odds ratio test of the unit root hypothesis based on flat and Jeffreys priors. In contrast to the analysis presented by Schotman and van Dijk [9], we utilize a nondegenerate structural representation of the components model that allows us to determine well-behaved Jeffreys priors, posterior densities under flat priors and Jeffreys priors, and posterior odds ratios for the unit root hypothesis without a proper prior for the level parameter. The analysis highlights the importance of the treatment of initial values for inference concerning stationarity and unit roots. |
| Формат | application.pdf |
| Издатель | Cambridge University Press |
| Копирайт | Copyright © Cambridge University Press 1994 |
| Название | A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model |
| Тип | research-article |
| DOI | 10.1017/S0266466600008665 |
| Electronic ISSN | 1469-4360 |
| Print ISSN | 0266-4666 |
| Журнал | Econometric Theory |
| Том | 10 |
| Первая страница | 552 |
| Последняя страница | 578 |
| Аффилиация | Zivot Eric; University of Washington |
| Выпуск | 3-4 |
