In this paper we want to shed some more light on an old debate about classical and Bayesian unit root tests. Within this discussion, Koop (1992) proposed a set of Bayesian unit root tests that aims at overcoming many of the traditional unit root tests drawbacks, but do not depend on the researcher’s prior opinion. Our aim is to further investigate, via simulations, Koop’s Bayesian unit root tests after a few years of silence, also in comparative terms with regards to classical test.
Bayesian Unit Root Tests: a Monte Carlo Study
GEROLIMETTO, Margherita;PROCIDANO, Isabella
2012-01-01
Abstract
In this paper we want to shed some more light on an old debate about classical and Bayesian unit root tests. Within this discussion, Koop (1992) proposed a set of Bayesian unit root tests that aims at overcoming many of the traditional unit root tests drawbacks, but do not depend on the researcher’s prior opinion. Our aim is to further investigate, via simulations, Koop’s Bayesian unit root tests after a few years of silence, also in comparative terms with regards to classical test.
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