FBST for Unit Root Problems

Márcio Diniz, C.A.B.Pereira and J.M.Stern

No 08_11, Working Papers from Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto

Abstract: This paper presents the Full Bayesian Significance Test for unit roots in auto-regressive time series, and compares it to other approaches on a benchmark of 14 econometric series.

Keywords: ARMA models; e-values; FBST; Unit roots (search for similar items in EconPapers)
Date: 2008
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