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Full-Text Articles in Social and Behavioral Sciences
A Bayesian Analysis Of Trend Determination In Economic Time Series, Eric Zivot, Peter C.B. Phillips
A Bayesian Analysis Of Trend Determination In Economic Time Series, Eric Zivot, Peter C.B. Phillips
Cowles Foundation Discussion Papers
In this paper we provide a comprehensive Bayesian posterior analysis of trend determination in general autoregressive models. Multiple lag autoregressive models with fitted drifts and time trends as well as models that allow for certain types of structural change in the deterministic components are considered. We utilize a modified information matrix-based prior that accommodates stochastic nonstationarity, takes into account the interactions between long-run and short-run dynamics and controls the degree of stochastic nonstationarity permitted. We derive analytic posterior densities for all of the trend determining parameters via the Laplace approximation to multivariate integrals. We also address the sampling properties of …
Testing The Null Hypothesis Of Stationarity Against The Alternative Of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?, Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt
Testing The Null Hypothesis Of Stationarity Against The Alternative Of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?, Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt
Cowles Foundation Discussion Papers
The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null hypothesis is accepted unless there is strong evidence against it. Therefore, an alternative explanation for the common failure to reject a unit root is simply that most economic time series are not very informative about whether or not there is a unit root; or, equivalently, that standard unit …