Regression modelEconometrics / time series
贝叶斯增广迪基-富勒单位根检验
贝叶斯增广迪基-富勒 (Bayesian Augmented Dickey-Fuller, BADF) 单位根检验将经典的 ADF 检验置于贝叶斯框架内。它不计算频率主义的 p 值，而是通过比较零假设（单位根）和备择假设（平稳性）下的后验概率或贝叶斯因子来量化支持或反对单位根的证据，并纳入关于自回归参数的先验信念。
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来源
- Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. DOI: 10.2307/2938280 ↗
- Koop, G., Osiewalski, J., & Steel, M. F. J. (1992). Bayesian analysis of long-run multipliers in cointegrating models. Journal of Econometrics, 54(1–3), 27–44. link ↗
如何引用本页
ScholarGate. (2026, June 3). Bayesian Augmented Dickey-Fuller Unit Root Test. ScholarGate. https://scholargate.app/zh/econometrics/bayesian-adf-unit-root-test
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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