Bayesian unit root test for model with maintained trend

The present paper considers the testing of unit root hypothesis for an autoregressive model with polynomial trend under Bayesian framework. Under the unit root hypothesis the trend component does not vanish completely and its degree reduces by one. The posterior odds ratio for the unit root hypothesis has been derived under appropriate prior assumptions for the parameters of the model.

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Year of publication:	2005
Authors:	Chaturvedi, Anoop ; Kumar, Jitendra
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 74.2005, 2, p. 109-115
Publisher:	Elsevier
Keywords:	Autoregressive models Unit root hypothesis Polynomial trend Prior distribution Posterior odds ratio

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259126