Bayesian skepticism on unit root econometrics
نویسندگان
چکیده
منابع مشابه
Bayesian Econometrics
Suppose a data vector X = (X1, ..., Xn) follows a distribution with a density function pn(x|θ) which is fully characterized by some parameter vector θ = (θ1, ..., θd)′. Suppose that the prior belief about θ is characterized by a density p(θ) defined over a parameter space Θ, a subset of a Euclidian space R. Using Bayes’ rule to incorporate the information provided by the data, we can form poste...
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A Monte Carlo experiment is used to examine the size and power properties of alternative Bayesian tests for unit roots. Four different prior distributions for the root that is potentially unity – a uniform prior and priors attributable to Jeffreys, Lubrano, and Berger and Yang – are used in conjunction with two testing procedures: a credible interval test and a Bayes factor test. Two extensions...
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A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...
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yt and Pt replaced by any variables that affect supply but not demand. In the 1970s econometricians began to recognize that how the supply or demand equation is normalized affects the estimator of the supply or demand elasticity (¡M or ¬R ) when the two-stage least squares (2SLS) approach is employed. The quality of this estimator is sensitive to the strength of instruments used in the 2SLS est...
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A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. Our analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business and Economic Statistics) in the two important ways. First, a numerically more stable algorithm is introduced to compute Bayes factors, taking into account the special stru...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 1988
ISSN: 0165-1889
DOI: 10.1016/0165-1889(88)90050-4