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Bayesian ADF unit root test/Evidence
Method evidence record

Bayesian ADF unit root test

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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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Bayesian Augmented Dickey-Fuller Unit Root Test
Taxonomic method record · regression-model / econometrics
  • Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. · DOI 10.2307/2938280
  • Koop, G., Osiewalski, J., & Steel, M. F. J. (1992). Bayesian analysis of long-run multipliers in cointegrating models. Journal of Econometrics, 54(1–3), 27–44. · URL
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Taxonomic bucketAugmented Dickey-Fuller unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketBayesian ARDL Bounds Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketBayesian VAR modelmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketBayesian VECMmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPhillips-Perron unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketZivot-Andrews Structural Break Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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