Berger, James O.; Yang, Ruo-Yong - In: Econometric Theory 10 (1994) 3-4, pp. 461-482
Various approaches to the development of a noninformative prior for the AR(1) model are considered and compared. Particular attention is given to the <italic>reference prior</italic> approach, which seems to work well for the stationary case but encounters difficulties in the explosive case. A symmetrized...