Bayesian Encompassing Tests of Unit Root Hypothesis
The object of this paper is to report, for a simple testing problem of a unit root hypothesis, some experience regarding the numerical problems involved by using a Bayesian encompassing test, i.e., a Bayesian procedure that treats the null and the alternative hypotheses as different models, the null one and the alternative one, that share a same sample space but with different parameter spaces. Numerical procedures and efficient simulations are discussed briefly, and the numerical results so obtained are used to evaluate the meaning of the prior specification and of the empirical evidence about a unit root inference.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1992|
|Date of revision:|
|Contact details of provider:|| Postal: GREMAQ, Universite de Toulouse I Place Anatole France 31042 - Toulouse CEDEX France.|
Fax: 05 61 22 55 63
Web page: http://www-gremaq.univ-tlse1.fr/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:gremaq:92.274. 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: (Thomas Krichel)
If references are entirely missing, you can add them using this form.