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Priors for unit root models

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  • Kadane, Joseph B.
  • Chan, Ngai Hang
  • Wolfson, Lara J.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3VWT1TW-8/2/a7f268c9da4c238c7db99ef9dbc95aee
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 75 (1996)
    Issue (Month): 1 (November)
    Pages: 99-111

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    Handle: RePEc:eee:econom:v:75:y:1996:i:1:p:99-111

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    1. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec..
    2. Peter C.B. Phillips, 1991. "Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum," Cowles Foundation Discussion Papers 986, Cowles Foundation for Research in Economics, Yale University.
    3. DeJong, David N. & Whiteman, Charles H., 1991. "Reconsidering 'trends and random walks in macroeconomic time series'," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 221-254, October.
    4. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-74, Summer.
    5. Uhlig, H., 1992. "What Macroeconomists Should Know About Unit Roots as Well: The Bayesian Perspective," Papers 367, Princeton, Department of Economics - Econometric Research Program.
    6. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    7. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
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    Cited by:
    1. Kostas Triantafyllopoulos & Giovanni Montana, 2008. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Papers 0808.1710, arXiv.org, revised May 2009.
    2. Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden).
    3. Marek Jarocinski & Albert Marcet, 2013. "Priors about Observables in Vector Autoregressions," Working Papers 684, Barcelona Graduate School of Economics.
    4. Brock,W.A. & Durlauf,S.N. & West,K.D., 2003. "Policy evaluation in uncertain economic environments," Working papers 15, Wisconsin Madison - Social Systems.
    5. Marek Jarocinski & Albert Marcet, 2011. "Autoregressions in Small Samples, Priors about Observables and Initial Conditions," CEP Discussion Papers dp1061, Centre for Economic Performance, LSE.

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