방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| 베이지안 ADF 단위근 검정× | 베이지안 벡터 오차 수정 모형 (Bayesian VECM)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1991–1992 | 2002–2005 |
| 창시자≠ | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) | Kleibergen & Paap; Villani |
| 유형≠ | Bayesian hypothesis test | Bayesian multivariate time series model |
| 원전≠ | Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. DOI ↗ | Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249. DOI ↗ |
| 별칭 | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF | Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction |
| 관련≠ | 6 | 5 |
| 요약≠ | 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. |
| ScholarGate데이터셋 ↗ |
|
|