Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.

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...