This paper introduces a feasible and practical Bayesian method for unit root testing in financial time series. We propose a convenient approximation of the Bayes factor in terms of the Bayesian Information Criterion as a straightforward and effective strategy for testing the unit root hypothesis. Our approximate approach relies on few assumptions, is of general applicability, and preserves a satisfactory error rate. Among its advantages, it does not require the prior distribution on model's parameters to be specified. Our simulation study and empirical application on real exchange rates show great accordance between the suggested simple approach and both Bayesian and non-Bayesian alternatives.
翻译:本文件在财务时间序列中引入了一种可行和实用的贝叶斯式单位根测试方法。我们建议以贝叶斯信息标准为基准,方便地近似贝叶斯系数,作为测试单位根假设的一个直接而有效的战略。我们的大致方法依赖少数假设,具有普遍适用性,并保留令人满意的误差率。它的好处之一是,它不要求事先对模型参数进行具体的分配。我们的模拟研究和对实际汇率的经验应用显示,在建议的简单方法与巴伊西亚和非巴伊西亚的替代方法之间都有很大的一致。