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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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Bayesian Augmented Dickey-Fuller Unit Root Test

Rekodi ya mbinu ya kiajenda · regression-model / econometrics

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