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Priors for unit root models

  • Kadane, Joseph B.
  • Chan, Ngai Hang
  • Wolfson, Lara J.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3VWT1TW-8/2/a7f268c9da4c238c7db99ef9dbc95aee
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 75 (1996)
    Issue (Month): 1 (November)
    Pages: 99-111

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    Handle: RePEc:eee:econom:v:75:y:1996:i:1:p:99-111
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. 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.
    2. Peter C.B. Phillips, 1991. "Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum," Cowles Foundation Discussion Papers 986, Cowles Foundation for Research in Economics, Yale University.
    3. Uhlig, H., 1992. "What Macroeconomists Should Know About Unit Roots as Well: The Bayesian Perspective," Papers 367, Princeton, Department of Economics - Econometric Research Program.
    4. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-74, Summer.
    5. 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..
    6. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    7. DeJong, David N. & Whiteman, Charles H., 1991. "Reconsidering 'trends and random walks in macroeconomic time series'," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 221-254, October.
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