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| Bayesiansk ADF-enhedsrodstest× | Augmented Dickey-Fuller (ADF) Enhedsrodstest× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1991–1992 | 1979–1984 |
| Ophavsperson≠ | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Type≠ | Bayesian hypothesis test | Hypothesis test (unit root) |
| Oprindelig kilde≠ | Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Aliasser | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Relaterede≠ | 6 | 5 |
| Resumé≠ | 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 Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
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