Magris Martin, Iosifidis Alexandros
arXiv 19 Feb 2021 · Econometrics · 1 citations (OpenAlex)
arXiv:2102.10048 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a feasible and practical Bayesian method for unit root testing in financial time series. We propose a convenient approximation of the Bayes factor in terms of the Bayesian Information Criterion as a straightforward and effective strategy for testing the unit root hypothesis. Our approximate approach relies on few assumptions, is of general applicability, and preserves a satisfactory error rate. Among its advantages, it does not require the prior distribution on model's parameters to be specified. Our simulation study and empirical application on real exchange rates show great accordance between the suggested simple approach and both Bayesian and non-Bayesian alternatives.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Zellner, A (1971) An introduction to Bayesian inference in econometrics | 1.000 | 7 | 3 | 100% |
| 2 | Zivot, E (1994) A bayesian analysis of the unit root hypothesis within an unobserved components model | 1.000 | 6 | 3 | 100% |
| 3 | Phillips, P. C (1991) To criticize the critics: An objective bayesian analysis of stochastic trends | 0.979 | 16 | 6 | 94% |
| 4 | Schotman, P. C. and Van Dijk, H. K (1991) On bayesian routes to unit roots | 0.953 | 15 | 5 | 87% |
| 5 | Kass, R. E. and Raftery, A. E (1995) Bayes factors | 0.874 | 6 | 2 | 100% |
| 6 | DeJong, D. N. and Whiteman, C. H (1991) Reconsidering ‘trends and random walks in macroeconomic time series’ | 0.811 | 4 | 2 | 100% |
| 7 | Sims, C. A (1988) Bayesian skepticism on unit root econometrics | 0.811 | 4 | 2 | 100% |
| 8 | Geweke, J (1988) The secular and cyclical behavior of real gdp in 19 oecd countries, 1957–1983 | 0.737 | 3 | 2 | 100% |
| 9 | Kim, I.-M. and Maddala, G (1991) Flat priors vs. ignorance priors in the analysis of the ar (1) model | 0.737 | 3 | 2 | 100% |
| 10 | Leamer, E. E (1991) Comment onto criticize the critics' | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 73 scored citations.