Bayesian Unit Root Test in Nonnormal AR(1) Model

Hikaru Hasegawa, Anoop Chaturvedi () and Tran Van Hoa
Authors registered in the RePEc Author Service: Van Hoa Tran () and Van Hoa Tran

Journal of Time Series Analysis, 2000, vol. 21, issue 3, 261-280

Abstract: In this paper, we approximate the distribution of disturbances by the Edgeworth series distribution and propose a Bayesian analysis in a nonnormal AR(1) model. We derive the posterior distribution of the autocorrelation and the posterior odds ratio for unit roots hypothesis in the AR(1) model when the first four cumulants of the Edgeworth series distribution are finite and the higher order cumulants are negligible. We also apply the posterior analysis to eight real exchange rates and investigate whether these exchange rates behave like a random walk or not.

Date: 2000
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https://doi.org/10.1111/1467-9892.00185

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