IDEAS home Printed from https://ideas.repec.org/a/jae/japmet/v6y1991i4p435-73.html
   My bibliography  Save this article

Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum

Author

Listed:
  • Phillips, P C B

Abstract

This paper provides detailed responses to the following eight discussants of the author's paper "To criticize the critics: an objective Bayesian analysis of stochastic trends": Gary Koop and Mark Steel; Edward Leamer; In-Moo Kim and G. S. Maddala; Dale J. Poirier; Peter C. Schotman and Herman K. van Dijk; James H. Stock; David DeJong and Charles H. Whiteman; and Christopher Sims. This reply puts new emphasis on the call made in the earlier paper for objective Bayesian analysis in time-series; it underlines the need of a new approach, especially with regard to posterior odds testing; and it draws attention to a new methodology of Bayesian analysis developed in a recent paper by Phillips and Ploberger (1991a). Some new simulations that shed light on certain comments of the discussants are provided, new empirical evidence is reported with the extended Nelson-Plosser data supplied by Schotman and van Dijk; and the new Phillips-Ploberger posterior odds test is given a brief empirical illustration. Copyright 1991 by John Wiley & Sons, Ltd.

Suggested Citation

  • Phillips, P C B, 1991. "Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 435-473, Oct.-Dec..
    • Handle: RePEc:jae:japmet:v:6:y:1991:i:4:p:435-73
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0883-7252%28199110%2F199112%296%3A4%3C435%3ABRAURD%3E2.0.CO%3B2-N&origin=bc
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, vol. 61(6), pages 1367-1393, November.
    2. Holly, A & Phillips, P C B, 1979. "A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System," Econometrica, Econometric Society, vol. 47(6), pages 1527-1547, November.
    3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    4. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    5. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 933, Cowles Foundation for Research in Economics, Yale University.
    6. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
    7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    8. Peter C.B. Phillips & Werner Ploberger, 1991. "Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations," Cowles Foundation Discussion Papers 980, Cowles Foundation for Research in Economics, Yale University.
    9. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    10. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
    11. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    12. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation for Research in Economics, Yale University.
    13. 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.
    14. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    15. Peter C.B. Phillips, 1981. "Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case," Cowles Foundation Discussion Papers 609, Cowles Foundation for Research in Economics, Yale University.
    16. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Peter C.B. Phillips, 1992. "Bayes Models and Forecasts of Australian Macroeconomic Time Series," Cowles Foundation Discussion Papers 1024, Cowles Foundation for Research in Economics, Yale University.
    2. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
    3. Stéphane Adjemian & Florian Pelgrin, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Economie & Prévision, La Documentation Française, vol. 0(2), pages 127-152.
    4. Donald W.K. Andrews & Hong-Yuan Chen, 1992. "Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series," Cowles Foundation Discussion Papers 1026, Cowles Foundation for Research in Economics, Yale University.
    5. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
    6. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
    7. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
    8. Peter C.B. Phillips, 1991. "Unit Roots," Cowles Foundation Discussion Papers 998, Cowles Foundation for Research in Economics, Yale University.
    9. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Journal of Econometrics, Elsevier, vol. 169(2), pages 188-195.
    10. Alexander Vosseler & Enzo Weber, 2018. "Forecasting seasonal time series data: a Bayesian model averaging approach," Computational Statistics, Springer, vol. 33(4), pages 1733-1765, December.
    11. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, University Library of Munich, Germany.
    12. Peter C.B. Phillips, 1991. "The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence," Cowles Foundation Discussion Papers 1000, Cowles Foundation for Research in Economics, Yale University.
    13. Yong Li & Jun Yu, 2010. "A New Bayesian Unit Root Test in Stochastic Volatility Models," Working Papers 21-2010, Singapore Management University, School of Economics, revised Oct 2010.
    14. Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 89-100, January.
    15. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
    16. Yong Li & Jun Yu, 2019. "An Improved Bayesian Unit Root Test in Stochastic Volatility Models," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 103-122, May.
    17. Cathy W. S. Chen & Sangyeol Lee & Shu-Yu Chen, 2016. "Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach," Computational Statistics, Springer, vol. 31(1), pages 1-24, March.
    18. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
    19. Kadane, Joseph B. & Chan, Ngai Hang & Wolfson, Lara J., 1996. "Priors for unit root models," Journal of Econometrics, Elsevier, vol. 75(1), pages 99-111, November.
    20. Li, Yong & Chong, Terence Tai-Leung & Zhang, Jie, 2012. "Testing for a unit root in the presence of stochastic volatility and leverage effect," Economic Modelling, Elsevier, vol. 29(5), pages 2035-2038.
    21. Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Bayesian routes and unit roots: De rebus prioribus semper est disputandum (Journal of Applied Econometrics 1991) in ReplicationWiki

    Statistics

    Access and download statistics

    Corrections

    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:jae:japmet:v:6:y:1991:i:4:p:435-73. 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: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.