Proceedings Article10.1063/1.2821271
FBST for Unit Root Problems
Marcio Alves Diniz,Carlos Eduardo Pereira,Julio Michael Stern +2 more
- 15 Nov 2007
- Vol. 954, Iss: 1, pp 260-267
TL;DR: In this article, the authors present the Full Bayesian Significance Test for unit roots in auto-regressive time series, and compare it to other approaches on a benchmark of 14 econometric series.
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Abstract: This paper presents the Full Bayesian Significance Test for unit roots in auto‐regressive time series, and compares it to other approaches on a benchmark of 14 econometric series.
read more
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Citations
A robust bayesian approach for unit root testing
TL;DR: In this paper, the identification of an autoregressive model for an observed time series and the detection of a unit root in its characteristic polynomial were dealt with, and particular attention was devoted to the problem of the sensitivity of the standard Bayesian analysis with respect to the choice of the prior distribution for the autoregression coefficients.
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FBST for Cointegration Problems
Marcio Alves Diniz,Carlos Eduardo Pereira,Julio Michael Stern +2 more
- 11 Nov 2008
TL;DR: The Full Bayesian Significance Test applied to cointegration rank selection tests in multivariate (VAR/VEC) time series models is presented and how to implement it using available in the literature and simulated data sets is shown.
Cointegration: Bayesian Significance Test
TL;DR: The present article applies the Full Bayesian Significance Test (FBST), especially designed to deal with sharp hypotheses, to cointegration rank selection tests in VECM time series models.
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TL;DR: In this paper, the authors investigate whether macroeconomic time series are better characterized as stationary fluctuations around a deterministic trend or as non-stationary processes that have no tendency to return to the deterministic path, and conclude that macroeconomic models that focus on monetary disturbances as a source of purely transitory fluctuations may not be successful in explaining a large fraction of output variation.
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Global Optimization of Statistical Functions with Simulated Annealing
TL;DR: This implementation of simulated annealing was used in "Global Optimization of Statistical Functions with Simulated Annealing," Goffe, Ferrier and Rogers, Journal of Econometrics, vol.
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Bayesian skepticism on unit root econometrics
TL;DR: This paper examined several grounds for doubting the value of much of the special attention recently devoted to unit root econometrics and showed that unit root hypotheses are less well connected to economic theory than is often suggested or assumed.
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Understanding unit rooters: a helicopter tour
Christopher A. Sims,Harald Uhlig +1 more
TL;DR: In this paper, it was shown that the usual test statistics and covariance matrices for autoregressions, which characterize the likelihood shape in dynamic models just as in static regression models, should be reported without any corrections for the special unit root distribution theory.
Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests
TL;DR: This paper used Monte Carlo experiments and response surface regressions in a novel way to calculate approximate asymptotic distribution functions for several well-known unit-root and cointegration test statistics.
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