- 期刊
Testing for Unit Root in the Presence of Stationary Covariate: A Bayesian Approach
摘要
The present paper considers the testing of unit root hypothesis for an autoregressive model in the presence of a stationary covariate using Bayesian framework. The posterior odds ratio for the unit root hypothesis has been derived under appropriate prior assumptions for the parameters of the model. The results of a numerical simulation are presented to elaborate the theoretical findings and observe the impact of ignoring covariate in posterior odds ratio. An numerical illustration is also carried out on Nelson and Plosser (1982) data and get similar results.
被引用紀錄
林子期（2009）。運用 Karhunen-Loeve展開式
建構資料驅動的尼曼平滑檢定〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU.2009.00606
延伸閱讀
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