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Citations for "Posterior Odds Testing for a Unit Root with Data-Based Model Selection"

by Phillips, Peter C.B. & Ploberger, Werner

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  1. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
  2. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  3. Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series 0214, European Central Bank.
  4. Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
  5. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
  6. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
  7. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests are Useful for Selecting Forecasting Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-063, New York University, Leonard N. Stern School of Business-.
  8. Peter C.B. Phillips, 1992. "Bayesian Model Selection and Prediction with Empirical Applications," Cowles Foundation Discussion Papers 1023, Cowles Foundation for Research in Economics, Yale University.
  9. Aaron Schiff & Peter Phillips, 2000. "Forecasting New Zealand's real GDP," New Zealand Economic Papers, Taylor & Francis Journals, vol. 34(2), pages 159-181.
  10. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
  11. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
  12. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Discussion Papers 08/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  13. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
  14. Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation for Research in Economics, Yale University.
  15. repec:dgr:uvatin:19990024 is not listed on IDEAS
  16. repec:dgr:uvatin:1999024 is not listed on IDEAS
  17. In Choi & Eiji Kurozumi, 2008. "Model Selection Criteria for the Leads-and-Lags Cointegrating Regression," Working Papers 0801, Research Institute for Market Economy, Sogang University, revised Aug 2009.
  18. Phillips, Peter C B & Xiao, Zhijie, 1998. " A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-69, December.
  19. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  20. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
  21. 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.
  22. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, vol. 30(01), pages 201-251, February.
  23. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
  24. Harris, David & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Testing For A Unit Root In The Presence Of A Possible Break In Trend," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1545-1588, December.
  25. Mohitosh Kejriwal & Pierre Perron, 2007. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression," Boston University - Department of Economics - Working Papers Series WP2007-018, Boston University - Department of Economics.
  26. Houssa, Romain, 2013. "Uncertainty about welfare effects of consumption fluctuations," European Economic Review, Elsevier, vol. 59(C), pages 35-62.
  27. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer, vol. 19(3), pages 239-260, October.
  28. Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," IZA Discussion Papers 1108, Institute for the Study of Labor (IZA).
  29. Patrick Marsh, . "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  30. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition," Econometric Theory, Cambridge University Press, vol. 25(03), pages 587-636, June.
  31. Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
  32. Ayat, Leila & Burridge, Peter, 2000. "Unit root tests in the presence of uncertainty about the non-stochastic trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 71-96, March.
  33. Canova, Fabio, 1999. "Testing for Convergence Clubs in Income per-capita: A Predictive Density Approach," CEPR Discussion Papers 2201, C.E.P.R. Discussion Papers.
  34. Peter C.B. Phillips & James W. McFarland, 1993. "Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984," Cowles Foundation Discussion Papers 1055, Cowles Foundation for Research in Economics, Yale University, revised 1996.
  35. Kim, Jae-Young, 2012. "Model selection in the presence of nonstationarity," Journal of Econometrics, Elsevier, vol. 169(2), pages 247-257.
  36. 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.
  37. Munehisa Kasuya & Tomoki Tanemura, 2000. "Small Scale Bayesian VAR Modeling of the Japanese Macro Economy Using the Posterior Information Criterion and Monte Carlo Experiments," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  38. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
  39. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
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