Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Bayesovský test jednotkové odmocniny ADF× | Bayesovský test mezí ARDL× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1991–1992 | 2001 (ARDL); Bayesian extension 2010s |
| Tvůrce≠ | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) | Pesaran, Shin & Smith (ARDL framework, 2001); Bayesian adaptation by subsequent literature |
| Typ≠ | Bayesian hypothesis test | Cointegration / bounds testing |
| Původní zdroj≠ | Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326. DOI ↗ |
| Další názvy | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF | Bayesian ARDL, Bayesian bounds testing approach, Bayes ARDL cointegration, Bayesian PSS bounds test |
| Příbuzné≠ | 6 | 5 |
| Shrnutí≠ | 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 ARDL Bounds Test extends the classical Pesaran-Shin-Smith (2001) bounds testing approach to cointegration by embedding it within a Bayesian inferential framework. Instead of relying on frequentist F- and t-statistics with tabulated critical values, the researcher specifies prior distributions on the model parameters and derives posterior evidence of a long-run level relationship between variables that may be integrated of order zero or one. |
| ScholarGateDatová sada ↗ |
|
|