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FBST for Unit Root Problems

  • Márcio Alves Diniz
  • C.A.B.Pereira
  • J.M.Stern
Registered author(s):

    This paper presents the Full Bayesian Significance Test for unit roots in auto-regressive time series, and compares it to other approaches on a benchmark of 14 econometric series.

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    File URL: ftp://cpq.fearp.usp.br:2300/textos_discussao/eco/wpe08_11.pdf
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    File Function: First version, 2008
    Download Restriction: no

    Paper provided by Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto in its series Working Papers with number 08_11.

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    Date of creation: 2008
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    Handle: RePEc:fea:wpaper:08_11
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    Web page: http://www.cpq.fearp.usp.br/
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    1. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
    2. Koop, Gary & Steel, Mark F J, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 365-70, Oct.-Dec..
    3. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139, March.
    4. Stern, J. M. & Zacks, S., 2002. "Testing the independence of Poisson variates under the Holgate bivariate distribution: the power of a new evidence test," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 313-320, December.
    5. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-99, November.
    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. Leamer, Edward E, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: Comment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 371-73, Oct.-Dec..
    8. 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..
    9. Poirier, Dale J, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 381-86, Oct.-Dec..
    10. Conigliani, Caterina & Spezzaferri, Fulvio, 2007. "A Robust Bayesian Approach For Unit Root Testing," Econometric Theory, Cambridge University Press, vol. 23(03), pages 440-463, June.
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