We propose the unified approach to construct the non–informative prior for time–series econometric models that are invariant under some group of transformations. We show that this invariance property characterizes some of the most popular models hence the applicability of the proposed...

The paper presents the problem of identification in parametric models from the algebraic point of view. We argue that it is not just another perspective but the proper one. That is using our approach we can see the very nature of the identification problem, which is slightly different than that...

Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend and a fixed initial value. This model has nuisance parameters so later authors have often worked with a slightly different model with a random initial value in which nuisance parameters can be...

Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend and a fixed initial value. This model has nuisance parameters so later authors have often worked with a slightly different model with a random initial value in which nuisance parameters can be...

Here we prove that the LR test for one sided hypotheses concerning the coefficient of variation in an inverse Gaussian family is the UMP invariant test under scale transformation. Some approximations to the CDF of the test statistic are investigated.