Artikel
The power of the 'objective' Bayesian unit-root test
Some researchers, for example, Koop [1], and Sims [2], have advocated for Bayesian alternatives to unit-root testing over the classical approach using the augmented Dickey-Fuller test (ADF). This paper studies the power of what Koop [1] has called the Objective Bayesian approach to unit-root testing. Koop's objective Bayesian test is interesting in light of the call by Phillips [3, 4] for more objective Bayesian analysis of time series. We apply the objective Bayesian unit-root test to a study of long-run purchasing power parity (PPP) in the post-Bretton Woods era and also Monte Carlo simulations. Overall, contrary to the favorable simulation results obtained by Koop [1], our results suggest that the objective Bayesian test is biased in favor of trend-stationarity. We conclude that, at least for the objective Bayesian test, it is not better than the classical ADF approach in unit-root tests, and because of its bias, the objective priors suggested by Koop [1] is not appropriate, and we do not recommend its use.
- Sprache
-
Englisch
- Erschienen in
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Journal: The Open Economics Journal ; ISSN: 1874-9194h ; Volume: 2 ; Year: 2009 ; Pages: 71-79 ; Sharjah: Bentham Open
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
- Thema
-
unit-root test
objective bayesian test
long-run PPP
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ahking, Francis W.
- Ereignis
-
Veröffentlichung
- (wer)
-
Bentham Open
- (wo)
-
Sharjah
- (wann)
-
2009
- DOI
-
doi:10.2174/1874919400902010071
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Ahking, Francis W.
- Bentham Open
Entstanden
- 2009
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