Objective Bayesian hypothesis testing in regression models with first-order autoregressive residuals

Yongku Kim, Woo Dong Lee, Sang Gil Kang and Dal Ho Kim

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 12, 5872-5887

Abstract: This article considers the objective Bayesian testing in the normal regression models with first-order autoregressive residuals. We propose some solutions based on a Bayesian model selection procedure to this problem where no subjective input is considered. We construct the proper priors for testing the autocorrelation coefficient based on measures of divergence between competing models, which is called the divergence-based (DB) priors and then propose the objective Bayesian decision-theoretic rule, which is called the Bayesian reference criterion (BRC). Finally, we derive the intrinsic test statistic for testing the autocorrelation coefficient. The behavior of the Bayes factor-based DB priors is examined by comparing with the BRC in a simulation study and an example.

Date: 2017
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DOI: 10.1080/03610926.2015.1112915

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