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	Bayesowska próba pierwiastka jednostkowego ADF	Bayesowski wektorowy model korygowania błędem (Bayesian VECM)
Dziedzina	Ekonometria	Ekonometria
Rodzina	Regression model	Regression model
Rok powstania	1991–1992	2002–2005
Twórca	Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992)	Kleibergen & Paap; Villani
Typ	Bayesian hypothesis test	Bayesian multivariate time series model
Źródło pierwotne	Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599.	Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249.
Inne nazwy	Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF	Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction
Pokrewne	6	5
Podsumowanie	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.