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Bayesian unit root test for model with maintained trend

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  • Chaturvedi, Anoop
  • Kumar, Jitendra

Abstract

The present paper considers the testing of unit root hypothesis for an autoregressive model with polynomial trend under Bayesian framework. Under the unit root hypothesis the trend component does not vanish completely and its degree reduces by one. The posterior odds ratio for the unit root hypothesis has been derived under appropriate prior assumptions for the parameters of the model.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 74 (2005)
Issue (Month): 2 (September)
Pages: 109-115

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Handle: RePEc:eee:stapro:v:74:y:2005:i:2:p:109-115

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Related research

Keywords: Autoregressive models Unit root hypothesis Polynomial trend Prior distribution Posterior odds ratio;

References

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  1. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(2), pages 153-62, April.
  2. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, Elsevier, vol. 49(1-2), pages 195-238.
  3. Uhlig, Harald, 1994. "What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 645-671, August.
  4. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(2), pages 139-162.
  5. Christopher A. Sims & Harald Uhlig, 1988. "Understanding unit rooters: a helicopter tour," Discussion Paper / Institute for Empirical Macroeconomics 4, Federal Reserve Bank of Minneapolis.
  6. DeJong, David N. & Whiteman, Charles H., 1991. "Reconsidering 'trends and random walks in macroeconomic time series'," Journal of Monetary Economics, Elsevier, Elsevier, vol. 28(2), pages 221-254, October.
  7. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 463-474.
  8. Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 81-109, September.
  9. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 880, Cowles Foundation for Research in Economics, Yale University.
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