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A ROBUST BAYESIAN APPROACH FOR UNIT ROOT TESTING

Published online by Cambridge University Press:  05 April 2007

Caterina Conigliani  and
Fulvio Spezzaferri
Caterina Conigliani
Affiliation:
Università Roma Tre
Fulvio Spezzaferri
Affiliation:
Università di Roma “La Sapienza”
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Abstract

In this paper we deal with the identification of an autoregressive model for an observed time series and the detection of a unit root in its characteristic polynomial. This is a big issue concerned with distinguishing stationary time series from time series for which differencing is required to induce stationarity. We consider a Bayesian approach, and particular attention is devoted to the problem of the sensitivity of the standard Bayesian analysis with respect to the choice of the prior distribution for the autoregressive coefficients.We thank three anonymous referees for their useful comments, which have improved the final version of the paper.

Type
Research Article
Information
Econometric Theory , Volume 23 , Issue 3 , June 2007 , pp. 440 - 463
Copyright
© 2007 Cambridge University Press

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