Compara mètodes

	Prova bayesiana de raïç unitària ADF	Model vectorial d'error de correcció bayesià (Bayesian VECM)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1991–1992	2002–2005
Autor original	Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992)	Kleibergen & Paap; Villani
Tipus	Bayesian hypothesis test	Bayesian multivariate time series model
Font seminal	Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599.	Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249.
Àlies	Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF	Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction
Relacionats	6	5
Resum	The Bayesian Augmented Dickey-Fuller (BADF) unit root test re-frames the classical ADF test within a Bayesian framework. Rather than computing a frequentist p-value, it quantifies evidence for or against a unit root by comparing posterior probabilities or Bayes factors under the null (unit root) and alternative (stationarity) hypotheses, incorporating prior beliefs about the autoregressive parameter.	The Bayesian VECM combines the classical Vector Error Correction Model — which captures both short-run dynamics and long-run cointegrating relationships among non-stationary multivariate time series — with Bayesian prior distributions over the cointegrating rank and coefficient matrices. This allows principled uncertainty quantification, incorporation of economic theory as priors, and coherent inference even in small samples.