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| Bayesiansk Phillips-Perron enhedsrodtest× | Bayesiansk ADF-enhedsrodstest× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1988 / early 1990s | 1991–1992 |
| Ophavsperson≠ | Phillips & Perron (classical test, 1988); Bayesian framework: Sims & Uhlig (1991) | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) |
| Type≠ | Unit root test (Bayesian) | Bayesian hypothesis test |
| Oprindelig kilde≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. DOI ↗ | Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. DOI ↗ |
| Aliasser | Bayesian PP test, Bayesian Phillips-Perron test, Bayesian nonparametric unit root test, Bayes PP unit root | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF |
| Relaterede≠ | 5 | 6 |
| Resumé≠ | The Bayesian Phillips-Perron unit root test combines the nonparametric long-run variance correction of the classical Phillips-Perron test with a Bayesian inferential framework. Instead of a p-value, it yields a posterior probability or Bayes factor quantifying evidence for or against a unit root, allowing researchers to incorporate prior economic knowledge and obtain probability statements directly about the persistence of a time series. | 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. |
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