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Testing for unit roots in a Bayesian framework

  • Lubrano, Michel

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4007D8M-9/2/fffd312289de1ad77d998023262dca69
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 69 (1995)
Issue (Month): 1 (September)
Pages: 81-109

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Handle: RePEc:eee:econom:v:69:y:1995:i:1:p:81-109
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1995. "Bayesian long-run prediction in time series models," Journal of Econometrics, Elsevier, vol. 69(1), pages 61-80, September.
  2. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec..
  3. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  4. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  5. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, March.
  6. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
  7. Lubrano, Michel, 1991. "Testing for Unit Roots Cointegration in a Bayesian Framework," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1991003, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  8. 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.
  9. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June.
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