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| 贝叶斯增广迪基-富勒单位根检验× | 贝叶斯向量误差修正模型 (Bayesian VECM)× | |
|---|---|---|
| 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 | 2002–2005 |
| 提出者≠ | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) | Kleibergen & Paap; Villani |
| 类型≠ | Bayesian hypothesis test | Bayesian multivariate time series model |
| 开创性文献≠ | 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 ↗ |
| 别名 | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF | Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction |
| 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 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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