Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Bayesiaanse ADF Eenheidswortel Test× | Bayesiaans Vectorfoutcorrectiemodel (Bayesian VECM)× | |
|---|---|---|
| Vakgebied | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Jaar van ontstaan≠ | 1991–1992 | 2002–2005 |
| Grondlegger≠ | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) | Kleibergen & Paap; Villani |
| Type≠ | Bayesian hypothesis test | Bayesian multivariate time series model |
| Oorspronkelijke bron≠ | 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 ↗ |
| Aliassen | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF | Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction |
| Verwant≠ | 6 | 5 |
| Samenvatting≠ | 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. |
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