Xia, Charley; Griffiths, William - In: 30th anniversary edition, (pp. 27-57). 2012
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...