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An alternative bayes factor for testing for unit autoregressive roots

Author

Listed:
  • Caterina Conigliani
  • F. Spezzaferri

Abstract

In this paper we deal with the identification of an autoregressive model for an observed time series, and the detection of a unit root in its characteristic polynomial. This is a big issue concerned with distinguishing stationary time series from time series for which differencing is required to induce stationarity. We consider a Bayesian approach, and particular attention is devoted to the problem of the sensitivity of the standard Bayesian analysis with respect to the choice of the prior distribution for the autoregressive coefficients.

Suggested Citation

  • Caterina Conigliani & F. Spezzaferri, 2002. "An alternative bayes factor for testing for unit autoregressive roots," Departmental Working Papers of Economics - University 'Roma Tre' 0031, Department of Economics - University Roma Tre.
    • Handle: RePEc:rtr:wpaper:0031
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    More about this item

    Keywords

    Autoregressive model; bayes factor; model selection; noninformative prior distributions time series; unit root;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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