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Bayesian Inference in Dynamic Econometric Models$
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Luc Bauwens, Michel Lubrano, and Jean-François Richard

Print publication date: 2000

Print ISBN-13: 9780198773122

Published to Oxford Scholarship Online: September 2011

DOI: 10.1093/acprof:oso/9780198773122.001.0001

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Unit Root Inference

Unit Root Inference

(p.158) 6 Unit Root Inference
Bayesian Inference in Dynamic Econometric Models

Luc Bauwens

Michel Lubrano

Jean-François Richard

Oxford University Press

This chapter examines the application of the unit root hypothesis in econometric analysis, particularly in the Bayesian inference approach. It explains that testing for a unit root in a Bayesian framework is one of the most controversial topics in the economic literature. This is because testing is one of the hot topics among classical and Bayesian statisticians and because the unit root hypothesis is a point hypothesis and Bayesians do not like testing a point hypothesis because it is not natural to compare an interval which receives a positive probability with a point null hypothesis of zero mass.

Keywords:   unit root hypothesis, econometric analysis, Bayesian inference, positive probability, null hypothesis

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