方法对比
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| 贝叶斯增广迪基-富勒单位根检验× | 贝叶斯ARDL边界检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1991–1992 | 2001 (ARDL); Bayesian extension 2010s |
| 提出者≠ | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) | Pesaran, Shin & Smith (ARDL framework, 2001); Bayesian adaptation by subsequent literature |
| 类型≠ | Bayesian hypothesis test | Cointegration / bounds testing |
| 开创性文献≠ | Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326. DOI ↗ |
| 别名 | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF | Bayesian ARDL, Bayesian bounds testing approach, Bayes ARDL cointegration, Bayesian PSS bounds test |
| 相关≠ | 6 | 5 |
| 摘要≠ | 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 ARDL Bounds Test extends the classical Pesaran-Shin-Smith (2001) bounds testing approach to cointegration by embedding it within a Bayesian inferential framework. Instead of relying on frequentist F- and t-statistics with tabulated critical values, the researcher specifies prior distributions on the model parameters and derives posterior evidence of a long-run level relationship between variables that may be integrated of order zero or one. |
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