IDEAS home Printed from
   My bibliography  Save this article

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


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


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

    Download full text from publisher

    File URL:
    File Function: link to article abstract page
    Download Restriction: no


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    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

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:10:y:1994:i:3-4:p:461-482_00. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.