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Noninformative Priors and Bayesian Testing for the AR(1) Model

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  • Berger, James O.
  • Yang, Ruo-Yong

Abstract

Various approaches to the development of a noninformative prior for the AR(1) model are considered and compared. Particular attention is given to the reference prior approach, which seems to work well for the stationary case but encounters difficulties in the explosive case. A symmetrized (proper) version of the stationary reference prior is ultimately recommended for the problem. Bayesian testing of the unit root, stationary, and explosive hypotheses is considered also. Bounds on the Bayes factors are developed and shown to yield answers that appear to conflict with classical tests.

Suggested Citation

  • Berger, James O. & Yang, Ruo-Yong, 1994. "Noninformative Priors and Bayesian Testing for the AR(1) Model," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 461-482, August.
  • Handle: RePEc:cup:etheor:v:10:y:1994:i:3-4:p:461-482_00
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    Cited by:

    1. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies.
    2. Summers, Peter M., 2004. "Bayesian evidence on the structure of unemployment," Economics Letters, Elsevier, vol. 83(3), pages 299-306, June.
    3. Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2016. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-1019, CIRJE, Faculty of Economics, University of Tokyo.
    4. Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.
    5. Tanja Krone & Casper J. Albers & Marieke E. Timmerman, 2017. "A comparative simulation study of AR(1) estimators in short time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(1), pages 1-21, January.
    6. Ni, Shawn & Sun, Dongchu, 2003. "Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models," Journal of Econometrics, Elsevier, vol. 115(1), pages 159-197, July.
    7. repec:bla:jtsera:v:38:y:2017:i:6:p:923-935 is not listed on IDEAS
    8. Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2015. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-979, CIRJE, Faculty of Economics, University of Tokyo.
    9. Schmidt, Daniel F. & Makalic, Enes, 2016. "Minimum message length analysis of multiple short time series," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 318-328.
    10. repec:eee:ecosta:v:3:y:2017:i:c:p:34-59 is not listed on IDEAS

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