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Bayesian PP unit root test/Ushahidi
Rekodi ya ushahidi wa mbinu

Bayesian PP unit root test

The Bayesian Phillips-Perron unit root test combines the nonparametric long-run variance correction of the classical Phillips-Perron test with a Bayesian inferential framework. Instead of a p-value, it yields a posterior probability or Bayes factor quantifying evidence for or against a unit root, allowing researchers to incorporate prior economic knowledge and obtain probability statements directly about the persistence of a time series.

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Bayesian Phillips-Perron Unit Root Test
Rekodi ya mbinu ya kiajenda · regression-model / econometrics
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. · DOI 10.1093/biomet/75.2.335
  • Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591-1599. · DOI 10.2307/2938280
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Taxonomic bucketAugmented Dickey-Fuller unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketBayesian ADF unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketBayesian VAR modelmachine-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.

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