TY  - CHAP
AB  - A Monte Carlo experiment is used to examine the size and power properties of alternative Bayesian tests for unit roots. Four different prior distributions for the root that is potentially unity – a uniform prior and priors attributable to Jeffreys, Lubrano, and Berger and Yang – are used in conjunction with two testing procedures: a credible interval test and a Bayes factor test. Two extensions are also considered: a test based on model averaging with different priors and a test with a hierarchical prior for a hyperparameter. The tests are applied to both trending and non-trending series. Our results favor the use of a prior suggested by Lubrano. Outcomes from applying the tests to some Australian macroeconomic time series are presented.
VL  - 30
SN  - 978-1-78190-309-4, 978-1-78190-310-0/0731-9053
DO  - 10.1108/S0731-9053(2012)0000030007
UR  - https://doi.org/10.1108/S0731-9053(2012)0000030007
AU  - Xia Charley
AU  - Griffiths William
ED  - Dek Terrell
ED  - Daniel Millimet
PY  - 2012
Y1  - 2012/01/01
TI  - Bayesian Unit Root Testing: The Effect of Choice of Prior on Test Outcomes
T2  - 30th Anniversary Edition
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 27
EP  - 57
Y2  - 2024/09/23
ER  -