Bayesian Encompassing Tests of a Unit-root Hypothesis

Florens, JP.;Larribeau, S.;Mouchart, Michel
(1994) NSF-Yale Bayesian Methods and Unit Roots Conference — Location: (Ct) (24.April.1992)

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Authors
  • Florens, JP.
    Author
  • Larribeau, S.
    Author
  • Mouchart, MichelUCLouvain
    Author
Abstract
The object of this paper is to report, for a simple testing problem of a unit root hypothesis, some experience regarding the numerical problems involved by using a Bayesian encompassing test, i.e., a Bayesian procedure that treats the null and the alternative hypotheses as different models, the null one and the alternative one, that share a same sample space but with different parameter spaces. Numerical procedures and efficient simulations are discussed briefly, and the numerical results so obtained are used to evaluate the meaning of the prior specification and of the empirical evidence about a unit root inference.
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Florens, JP., Larribeau, S., & Mouchart, M. (1994). Bayesian Encompassing Tests of a Unit-root Hypothesis. Econometric Theory, 10(3-4), 747-763. https://doi.org/10.1017/S0266466600008756 (Original work published 1994)