Bayesian skepticism on unit root econometrics

Christopher Sims ()

No 3, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis

Abstract: This paper examines several grounds for doubting the value of much of the special attention recently devoted to unit root econometrics. Unit root hypotheses are less well connected to economic theory than is often suggested or assumed; distribution theory for tests of other hypotheses in models containing unit roots are less often affected by the presence of unit roots than has been widely recognized; and the Bayesian inferential theory for dynamic models is largely unaffected by the presence of unit roots. The paper displays an example to show that when Bayesian probability statements and classical marginal significance levels diverge as they do for unit root models, the marginal significance levels are misleading. The paper shows how to carry out Bayesian inference when discrete weight is given to the unit root null hypothesis in a univariate model.

Keywords: Econometrics (search for similar items in EconPapers)
Date: 1988
References: View complete reference list from CitEc
Citations: View citations in EconPapers (219)

Downloads: (external link)
https://www.minneapolisfed.org/research/dp/dp3.pdf Full Text (application/pdf)

Related works:
Journal Article: Bayesian skepticism on unit root econometrics (1988)
Software Item: BAYESTST: RATS procedure to perform Bayesian Unit Root test
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmem:3

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis Contact information at EDIRC.
Bibliographic data for series maintained by Jannelle Ruswick ( this e-mail address is bad, please contact ).