Chapter

Bayesian Discrimination

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.003.0010

Series: Advanced Texts in Econometrics

 Bayesian Discrimination

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This chapter reviews Bayesian studies of the unit root. It identifies three different categories of discrimination that have emerged in Bayesian unit-root literature, where stationarity is discriminated from non-stationarity in the first category, and a point-null hypothesis, ρ = 1, is compared with alternative hypotheses in the second and third. It is shown that the third category, which contains only Schotman and van Dijk (1991a, b, 1993), deals with the discrimination between difference stationarity and trend stationarity.

Keywords: Bayesian discrimination; unit root; trend stationarity; difference stationarity; non-stationarity

Chapter.  6227 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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