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To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends

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Cited by:

  1. Geweke, John, 1994. "Priors for Macroeconomic Time Series and Their Application," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
  2. Gianluigi Pelloni & Wolfgang Polasek, "undated". "Intersectoral Labour Reallocation and Employment Volatility: A Bayesian Analysis using a VAR-GARCH-M model," Discussion Papers 99/4, Department of Economics, University of York.
  3. Koedijk, Kees G. & Tims, Ben & van Dijk, Mathijs A., 2004. "Purchasing power parity and the euro area," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1081-1107.
  4. Li, Yong & Yu, Jun, 2012. "Bayesian hypothesis testing in latent variable models," Journal of Econometrics, Elsevier, vol. 166(2), pages 237-246.
  5. Crespo Cuaresma, Jesus & Doppelhofer, Gernot, 2007. "Nonlinearities in cross-country growth regressions: A Bayesian Averaging of Thresholds (BAT) approach," Journal of Macroeconomics, Elsevier, vol. 29(3), pages 541-554, September.
  6. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 235-322.
  7. 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.
  8. Golub, Stephen S., 1994. "International diversification of social and private risk: the U.S. and Japan," Japan and the World Economy, Elsevier, vol. 6(3), pages 263-284, October.
  9. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
  10. Goulet Coulombe, Philippe & Leroux, Maxime & Stevanovic, Dalibor & Surprenant, Stéphane, 2021. "Macroeconomic data transformations matter," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1338-1354.
  11. Judd, Kenneth L., 1996. "Approximation, perturbation, and projection methods in economic analysis," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 12, pages 509-585, Elsevier.
  12. Koop, Gary & Steel, Mark F J, 1994. "A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 95-107, January.
  13. Magris Martin & Iosifidis Alexandros, 2021. "Approximate Bayes factors for unit root testing," Papers 2102.10048, arXiv.org, revised Feb 2021.
  14. Uhlig, H.F.H.V.S., 1996. "Bayesian Vector Autoregressions with Stochastic Volatility," Other publications TiSEM 4fd55395-6830-46a2-9d18-e, Tilburg University, School of Economics and Management.
  15. Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.
  16. Crespo Cuaresma, Jesus & Doppelhofer, Gernot, 2007. "Nonlinearities in cross-country growth regressions: A Bayesian Averaging of Thresholds (BAT) approach," Journal of Macroeconomics, Elsevier, vol. 29(3), pages 541-554, September.
  17. 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(3), pages 587-636, June.
  18. Tommaso Proietti & Stefano Grassi, 2015. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," Empirical Economics, Springer, vol. 48(3), pages 983-1011, May.
  19. 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.
  20. Gordon, Stephen & Bélanger, Gilles, 1996. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
  21. Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 774-808, August.
  22. Patrick Marsh, "undated". "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  23. Márcio Alves Diniz & C.A.B.Pereira & J.M.Stern, 2008. "FBST for Unit Root Problems," Working Papers 08_11, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  24. Donald W. K. Andrews & C. John McDermott, 1995. "Nonlinear Econometric Models with Deterministically Trending Variables," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(3), pages 343-360.
  25. 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.
  26. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
  27. Agiwal Varun & Kumar Jitendra & Shangodoyin Dahud Kehinde, 2018. "A Bayesian Inference Of Multiple Structural Breaks In Mean And Error Variance In Panelar (1) Model," Statistics in Transition New Series, Polish Statistical Association, vol. 19(1), pages 7-23, March.
  28. Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
  29. Christopher A. Sims, 2002. "The Role of Models and Probabilities in the Monetary Policy Process," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 1-62.
  30. Brian Hanlon & Catherine Forbes, 2002. "Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression," Monash Econometrics and Business Statistics Working Papers 8/02, Monash University, Department of Econometrics and Business Statistics.
  31. Kelvin Balcombe & Iain Fraser & Abhijit Sharma, 2011. "Bayesian model averaging and identification of structural breaks in time series," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3805-3818.
  32. Schenkelberg, Heike & Watzka, Sebastian, 2013. "Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 327-357.
  33. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
  34. W A Razzak, 1998. "Business cycle asymmetries and the nominal exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G98/4, Reserve Bank of New Zealand.
  35. Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
  36. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  37. Zhou, Qiankun & Yu, Jun, 2015. "Asymptotic theory for linear diffusions under alternative sampling schemes," Economics Letters, Elsevier, vol. 128(C), pages 1-5.
  38. Dedola, Luca & Neri, Stefano, 2007. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 512-549, March.
  39. Peter C.B. Phillips, 1991. "Unit Roots," Cowles Foundation Discussion Papers 998, Cowles Foundation for Research in Economics, Yale University.
  40. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
  41. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
  42. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
  43. Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1995. "Bayesian long-run prediction in time series models," Journal of Econometrics, Elsevier, vol. 69(1), pages 61-80, September.
  44. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  45. Grassi, S. & Proietti, T., 2014. "Characterising economic trends by Bayesian stochastic model specification search," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
  46. 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.
  47. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  48. Carter Richard A. L. & Zellner Arnold, 2004. "The ARAR Error Model for Univariate Time Series and Distributed Lag," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-44, March.
  49. 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.
  50. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary University of London, School of Economics and Finance.
  51. Petrova, Katerina, 2022. "Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models," Journal of Econometrics, Elsevier, vol. 230(1), pages 154-182.
  52. Bailey, Natalia & Giraitis, Liudas, 2016. "Spectral approach to parameter-free unit root testing," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 4-16.
  53. Swarna Dutt, 1997. "A microstructural analysis of the exchange rate expectation formation process," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 537-539.
  54. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, University Library of Munich, Germany.
  55. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
  56. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
  57. 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(6), pages 1545-1588, December.
  58. repec:wop:ubisop:0004 is not listed on IDEAS
  59. Varun Agiwal & Jitendra Kumar & Dahud Kehinde Shangodoyin, 2018. "A Bayesian Inference Of Multiple Structural Breaks In Mean And Error Variance In Panel Ar (1) Model," Statistics in Transition New Series, Polish Statistical Association, vol. 19(1), pages 7-23, March.
  60. 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.
  61. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
  62. David Meenagh & Patrick Minford & Eric Nowell & Prakriti Sofat & Naveen Srinivasan, 2007. "Are the facts of UK inflation persistence to be explained by nominal rigidity or changes in monetary regime?," WEF Working Papers 0028, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
  63. Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2022. "Robust Dynamic Space-Time Panel Data Models Using ε-contamination: An Application to Crop Yields and Climate Change," Center for Policy Research Working Papers 254, Center for Policy Research, Maxwell School, Syracuse University.
  64. Tung Liu & Lee C. Spector, 2005. "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, vol. 30(1), pages 151-169, January.
  65. Barnett, Glen & Kohn, Robert & Sheather, Simon, 1996. "Bayesian estimation of an autoregressive model using Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 74(2), pages 237-254, October.
  66. Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  67. Lawrence E. Raffalovich, 1994. "Detrending Time Series," Sociological Methods & Research, , vol. 22(4), pages 492-519, May.
  68. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  69. 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.
  70. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  71. Minxian Yang, 2014. "Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 305-336, June.
  72. John C. Chao & Peter C.B. Phillips, 1996. "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior," Cowles Foundation Discussion Papers 1137, Cowles Foundation for Research in Economics, Yale University.
  73. Marek Jarocinski & Albert Marcet, 2014. "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers 776, Barcelona School of Economics.
  74. Sigrunn Holbek Sørbye & Håvard Rue, 2017. "Penalised Complexity Priors for Stationary Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 923-935, November.
  75. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
  76. Imad Moosa & Razzaque Bhatti, 1996. "Does Europe have an integrated capital market? Evidence from real interest parity tests," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 517-520.
  77. Steel, M.F.J., 1991. "Bayesian inference in time series," Discussion Paper 1991-53, Tilburg University, Center for Economic Research.
  78. Meenagh, David & Minford, Patrick & Nowell, Eric & Sofat, Prakriti & Srinivasan, Naveen, 2009. "Can the facts of UK inflation persistence be explained by nominal rigidity?," Economic Modelling, Elsevier, vol. 26(5), pages 978-992, September.
  79. Hans KREMERS & Andreas LOESCHEL, 2010. "The Strategic Implications of Setting Border Tax Adjustments," EcoMod2010 259600097, EcoMod.
  80. Koop, Gary & Osiewalski, Jacek & Steel, Mark F.J., 1992. "Posterior inference on long-run impulse responses," UC3M Working papers. Economics 2838, Universidad Carlos III de Madrid. Departamento de Economía.
  81. Kociecki, Andrzej, 2012. "Orbital Priors for Time-Series Models," MPRA Paper 42804, University Library of Munich, Germany.
  82. Crespo Cuaresma, Jesus & Doppelhofer, Gernot, 2007. "Nonlinearities in cross-country growth regressions: A Bayesian Averaging of Thresholds (BAT) approach," Journal of Macroeconomics, Elsevier, vol. 29(3), pages 541-554, September.
  83. Bennett T. McCallum, 1993. "Unit roots in macroeconomic time series: some critical issues," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 13-44.
  84. Peter Congdon, 2022. "A Model for Highly Fluctuating Spatio-Temporal Infection Data, with Applications to the COVID Epidemic," IJERPH, MDPI, vol. 19(11), pages 1-17, May.
  85. Noriega, Antonio E. & de Alba, Enrique, 2001. "Stationarity and structural breaks -- evidence from classical and Bayesian approaches," Economic Modelling, Elsevier, vol. 18(4), pages 503-524, December.
  86. Smoluk, H.J. & Bennett, James, 2008. "Evaluating stock returns with time-varying risk aversion driven by trend deviations from the consumption-to-wealth ratio: An analysis conditional on income levels," Review of Financial Economics, Elsevier, vol. 17(4), pages 261-279, December.
  87. Chao, John C. & Phillips, Peter C. B., 2002. "Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables," Journal of Econometrics, Elsevier, vol. 111(2), pages 251-283, December.
  88. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
  89. Harald Uhlig, 1997. "Bayesian Vector Autoregressions with Stochastic Volatility," Econometrica, Econometric Society, vol. 65(1), pages 59-74, January.
  90. Sylvia Kaufmann & Johann Scharler, 2013. "Bank-Lending Standards, Loan Growth and the Business Cycle in the Euro Area," Working Papers 2013-34, Faculty of Economics and Statistics, Universität Innsbruck.
  91. H.J. Smoluk & James Bennett, 2008. "Evaluating stock returns with time‐varying risk aversion driven by trend deviations from the consumption‐to‐wealth ratio: An analysis conditional on income levels," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 261-279, December.
  92. Bauwens, Luc & Polasek, Wolfgang & van Dijk, Herman K., 1996. "Editor's introduction," Journal of Econometrics, Elsevier, vol. 75(1), pages 1-5, November.
  93. 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.
  94. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Other publications TiSEM 81684a10-935f-49c4-b5ab-0, Tilburg University, School of Economics and Management.
  95. Paul Cashin & C. John McDermott, 2006. "Parity Reversion in Real Exchange Rates: Fast, Slow, or Not at All?," IMF Staff Papers, Palgrave Macmillan, vol. 53(1), pages 1-5.
  96. 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.
  97. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India.
  98. Xiaofei Xu & Yan Liu & Masanobu Taniguchi, 2023. "Higher‐order asymptotics of minimax estimators for time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 247-257, March.
  99. R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," University of Western Ontario, Departmental Research Report Series 20025, University of Western Ontario, Department of Economics.
  100. Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2023. "Robust dynamic space–time panel data models using $$\varepsilon $$ ε -contamination: an application to crop yields and climate change," Empirical Economics, Springer, vol. 64(6), pages 2475-2509, June.
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  103. Chao, J. C. & Phillips, P. C. B., 1998. "Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior," Journal of Econometrics, Elsevier, vol. 87(1), pages 49-86, August.
  104. Phillips, Peter C. B., 1995. "Bayesian prediction a response," Journal of Econometrics, Elsevier, vol. 69(1), pages 351-365, September.
  105. Agnieszka Leszczynska & Katarzyna Hertel, 2013. "Inflation persistence – a disaggregated approach," EcoMod2013 5692, EcoMod.
  106. Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation for Research in Economics, Yale University.
  107. Zaman, Shah & Zaman, Qamar uz & Zhang, Leilei & Wang, Zilong & Jehan, Noor, 2022. "Interaction between agricultural production, female employment, renewable energy, and environmental quality: Policy directions in context of developing economies," Renewable Energy, Elsevier, vol. 186(C), pages 288-298.
  108. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2012. "A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(9), pages 1975-1990, May.
  109. Swarna Dutt & Dipak Ghosh, 1998. "Examining the credibility of macroeconomic forecasts: Null of cointegration approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 13-19, June.
  110. Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November.
  111. Fernández, Carmen & Steel, Mark F.J., 2000. "Bayesian Regression Analysis With Scale Mixtures Of Normals," Econometric Theory, Cambridge University Press, vol. 16(1), pages 80-101, February.
  112. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  113. Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, vol. 69(1), pages 81-109, September.
  114. Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.
  115. Razvan Pascalau, 2010. "Unit root tests with smooth breaks: an application to the Nelson-Plosser data set," Applied Economics Letters, Taylor & Francis Journals, vol. 17(6), pages 565-570.
  116. 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.
  117. 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.
  118. Pardo Piñashca, Eduardo Andres, 2021. "Evidence of the middle-income trap in Pacific Alliance countries using Bayesian inference," MPRA Paper 110813, University Library of Munich, Germany.
  119. Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.
  120. Jon Faust, 1993. "Near observational equivalence and unit root processes: formal concepts and implications," International Finance Discussion Papers 447, Board of Governors of the Federal Reserve System (U.S.).
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