A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models

Gary Koop and Mark Steel

Journal of Business & Economic Statistics, 1994, vol. 12, issue 1, 95-107

Abstract: This paper develops a formal decision theoretic approach to testing for a unit root in economic time series. The approach is empirically implemented by specifying a loss function based on predictive variances; models are chosen so as to minimize expected loss. In addition, the paper broadens the class of likelihood functions traditionally considered in the Bayesian unit root literature. Empirical results indicate that, while the posterior probability of trend-stationarity is quite high for most of the series considered, the unit root model is often selected in the decision theoretic analysis.

Date: 1994
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Related works:
Working Paper: A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models (1993)
Working Paper: A Decision Theoretic Analysis of the Unit Root Hypothesis Using Mixtures of Elliptical Models (1991)
Working Paper: A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models (1991)
Working Paper: A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models (1991)
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:12:y:1994:i:1:p:95-107

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