BAYESTST: RATS procedure to perform Bayesian Unit Root test
AbstractTests series for a unit root using the Bayesian procedure outlined in C. Sims, "Bayesian Skepticism on Unit Root Econometrics", J. of Economic Dynamics and Control, 1988 no. 2/3.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00014.
Programming language: RATS
Requires: RATS 5.10
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Christopher A. Sims, 1988. "Bayesian skepticism on unit root econometrics," Discussion Paper / Institute for Empirical Macroeconomics 3, Federal Reserve Bank of Minneapolis.
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