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Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum

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  • Phillips, P C B

Abstract

This paper provides detailed responses to the following eight discussants of the author's paper "To criticize the critics: an objective Bayesian analysis of stochastic trends": Gary Koop and Mark Steel; Edward Leamer; In-Moo Kim and G. S. Maddala; Dale J. Poirier; Peter C. Schotman and Herman K. van Dijk; James H. Stock; David DeJong and Charles H. Whiteman; and Christopher Sims. This reply puts new emphasis on the call made in the earlier paper for objective Bayesian analysis in time-series; it underlines the need of a new approach, especially with regard to posterior odds testing; and it draws attention to a new methodology of Bayesian analysis developed in a recent paper by Phillips and Ploberger (1991a). Some new simulations that shed light on certain comments of the discussants are provided, new empirical evidence is reported with the extended Nelson-Plosser data supplied by Schotman and van Dijk; and the new Phillips-Ploberger posterior odds test is given a brief empirical illustration. Copyright 1991 by John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 6 (1991)
Issue (Month): 4 (Oct.-Dec.)
Pages: 435-73

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Handle: RePEc:jae:japmet:v:6:y:1991:i:4:p:435-73

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References

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  1. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 933, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  3. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  4. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
  5. 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.
  6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  7. Holly, A & Phillips, P C B, 1979. "A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System," Econometrica, Econometric Society, vol. 47(6), pages 1527-47, November.
  8. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  9. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
  10. Peter C.B. Phillips & Werner Ploberger, 1991. "Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations," Cowles Foundation Discussion Papers 980, Cowles Foundation for Research in Economics, Yale University.
  11. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation for Research in Economics, Yale University.
  12. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality," Cowles Foundation Discussion Papers 977, Cowles Foundation for Research in Economics, Yale University.
  13. Peter C.B. Phillips, 1981. "Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case," Cowles Foundation Discussion Papers 609, Cowles Foundation for Research in Economics, Yale University.
  14. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
  15. 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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Citations

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Cited by:
  1. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, EconWPA.
  2. Yong Li & Jun Yu, 2012. "A New Bayesian Unit Root Test in Stochastic Volatility Models," Working Papers 14-2012, Singapore Management University, School of Economics.
  3. Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Society for Computational Economics, vol. 41(1), pages 89-100, January.
  4. Li, Yong & Chong, Terence Tai-Leung & Zhang, Jie, 2012. "Testing for a unit root in the presence of stochastic volatility and leverage effect," Economic Modelling, Elsevier, vol. 29(5), pages 2035-2038.
  5. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
  6. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  7. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Discussion Papers 08/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  8. Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, EconWPA.
  9. Kadane, Joseph B. & Chan, Ngai Hang & Wolfson, Lara J., 1996. "Priors for unit root models," Journal of Econometrics, Elsevier, vol. 75(1), pages 99-111, November.
  10. Donald W.K. Andrews & Hong-Yuan Chen, 1992. "Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series," Cowles Foundation Discussion Papers 1026, Cowles Foundation for Research in Economics, Yale University.
  11. Peter C.B. Phillips, 1992. "Bayes Models and Forecasts of Australian Macroeconomic Time Series," Cowles Foundation Discussion Papers 1024, Cowles Foundation for Research in Economics, Yale University.
  12. Peter C.B. Phillips, 1991. "Unit Roots," Cowles Foundation Discussion Papers 998, Cowles Foundation for Research in Economics, Yale University.
  13. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  14. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
  15. Peter C.B. Phillips, 1991. "The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence," Cowles Foundation Discussion Papers 1000, Cowles Foundation for Research in Economics, Yale University.

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