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Posterior Odds Testing for a Unit Root with Data-Based Model Selection
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- Lucio Sarno & Giorgio Valente, 2009.
"Exchange Rates and Fundamentals: Footloose or Evolving Relationship?,"
Journal of the European Economic Association, MIT Press, vol. 7(4), pages 786-830, June.
- Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
- Peter C.B. Phillips, 1992. "Bayes Models and Forecasts of Australian Macroeconomic Time Series," Cowles Foundation Discussion Papers 1024, Cowles Foundation for Research in Economics, Yale University.
- Paap, Richard & van Dijk, Herman K, 2003.
"Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 547-563, October.
- Richard Paap & Herman K. van Dijk, 1999. "Bayes Estimates of Markov Trends in possibly Cointegrated Series: An Application to US Consumption and Income," Tinbergen Institute Discussion Papers 99-024/4, Tinbergen Institute.
- Paap, R. & van Dijk, H.K., 2002. "Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income," Econometric Institute Research Papers EI 2002-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Fabio Canova, 2004.
"Testing for Convergence Clubs in Income Per Capita: A Predictive Density Approach,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(1), pages 49-77, February.
- Fabio Canova, 1997. "Testing for convergence clubs in income per-capita: A predictive density approach," Economics Working Papers 404, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1999.
- Canova, Fabio, 1999. "Testing for Convergence Clubs in Income per-capita: A Predictive Density Approach," CEPR Discussion Papers 2201, C.E.P.R. Discussion Papers.
- Canova, Fabio, 2001. "Testing for convergence clubs in income per-capita: A predictive density approach," HWWA Discussion Papers 139, Hamburg Institute of International Economics (HWWA).
- Canova, Fabio, 2001. "Testing for Convergence Clubs in Income Per-Capita: A Predictive Density Approach," Discussion Paper Series 26361, Hamburg Institute of International Economics.
- Yan Qian & Zijun Wang, 2021. "A model selection approach to jointly testing for structural breaks and cointegration with application to the Eurocurrency interest rates market," Empirical Economics, Springer, vol. 61(2), pages 799-825, August.
- Inoue, Atsushi & Kilian, Lutz, 2006.
"On the selection of forecasting models,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
- Kilian, Lutz & Inoue, Atsushi, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank.
- Phillips, Peter C. B. & McFarland, James W., 1997.
"Forward exchange market unbiasedness: the case of the Australian dollar since 1984,"
Journal of International Money and Finance, Elsevier, vol. 16(6), pages 885-907, December.
- Peter C.B. Phillips & James W. McFarland, 1993. "Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984," Cowles Foundation Discussion Papers 1055, Cowles Foundation for Research in Economics, Yale University, revised 1996.
- Kejriwal, Mohitosh & Perron, Pierre, 2008.
"Data Dependent Rules For Selection Of The Number Of Leads And Lags In The Dynamic Ols Cointegrating Regression,"
Econometric Theory, Cambridge University Press, vol. 24(5), pages 1425-1441, October.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression," Boston University - Department of Economics - Working Papers Series WP2006-035, Boston University - Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2007. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression," Boston University - Department of Economics - Working Papers Series WP2007-018, Boston University - Department of Economics.
- Grassi, S. & Proietti, T., 2014.
"Characterising economic trends by Bayesian stochastic model specification search,"
Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
- Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
- Stefano Grassi & Tommaso Proietti, 2011. "Characterizing economic trends by Bayesian stochastic model specification search," CREATES Research Papers 2011-16, Department of Economics and Business Economics, Aarhus University.
- Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
- Chao, John C. & Phillips, Peter C. B., 1999.
"Model selection in partially nonstationary vector autoregressive processes with reduced rank structure,"
Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
- John C. Chao & Peter C.B. Phillips, 1997. "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers 1155, Cowles Foundation for Research in Economics, Yale University.
- Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022.
"On LASSO for predictive regression,"
Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
- Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Feb 2021.
- Gael M. Martin, 2000.
"US deficit sustainability: a new approach based on multiple endogenous breaks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
- Martin, G.M., 1998. "U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks," Monash Econometrics and Business Statistics Working Papers 1/98, Monash University, Department of Econometrics and Business Statistics.
- Choi, In & Kurozumi, Eiji, 2012.
"Model selection criteria for the leads-and-lags cointegrating regression,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 224-238.
- Choi, In & Kurozumi, Eiji & 黒住, 英司, 2008. "Model Selection Criteria for the Leads-and-Lags Cointegrating Regression," CCES Discussion Paper Series 6, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University.
- In Choi & Eiji Kurozumi, 2008. "Model Selection Criteria for the Leads-and-Lags Cointegrating Regression," Global COE Hi-Stat Discussion Paper Series gd08-006, Institute of Economic Research, Hitotsubashi University.
- In Choi & Eiji Kurozumi, 2008. "Model Selection Criteria for the Leads-and-Lags Cointegrating Regression," Working Papers 0801, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Aug 2009.
- Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
- Peter C. B. Phillips & Zhijie Xiao, 1998.
"A Primer on Unit Root Testing,"
Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
- Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B., 2005.
"Automated Discovery In Econometrics,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 3-20, February.
- Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation for Research in Economics, Yale University.
- Vos, A.F., 1993. "A fair comparison between regression models of different dimension," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Houssa, Romain, 2013.
"Uncertainty about welfare effects of consumption fluctuations,"
European Economic Review, Elsevier, vol. 59(C), pages 35-62.
- Romain Houssa, 2011. "Uncertainty about Welfare Effects of Consumption Fluctuations," Working Papers 1101, University of Namur, Department of Economics.
- Diebold, Francis X & Kilian, Lutz, 2000.
"Unit-Root Tests Are Useful for Selecting Forecasting Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 265-273, July.
- Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests are Useful for Selecting Forecasting Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-063, New York University, Leonard N. Stern School of Business-.
- Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc.
- Magris Martin & Iosifidis Alexandros, 2021. "Approximate Bayes factors for unit root testing," Papers 2102.10048, arXiv.org, revised Feb 2021.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009.
"Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition,"
Econometric Theory, Cambridge University Press, vol. 25(3), pages 587-636, June.
- David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Unit root testing in practice: dealing with uncertainty over the trend and initial condition," Discussion Papers 07/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Patrick Marsh, "undated". "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
- Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996.
"Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
- Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon, 1994. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's," Cowles Foundation Discussion Papers 1080, Cowles Foundation for Research in Economics, Yale University.
- Qu, Zhongjun & Perron, Pierre, 2007.
"A Modified Information Criterion For Cointegration Tests Based On A Var Approximation,"
Econometric Theory, Cambridge University Press, vol. 23(4), pages 638-685, August.
- Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
- Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
- Harris, David & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009.
"Testing For A Unit Root In The Presence Of A Possible Break In Trend,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1545-1588, December.
- David Harris & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Testing for a unit root in the presence of a possible break in trend," Discussion Papers 07/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Kleibergen, Frank, 2004. "Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox," Journal of Econometrics, Elsevier, vol. 123(2), pages 227-258, December.
- Phillips, Peter C. B., 1995.
"Bayesian model selection and prediction with empirical applications,"
Journal of Econometrics, Elsevier, vol. 69(1), pages 289-331, September.
- Peter C.B. Phillips, 1992. "Bayesian Model Selection and Prediction with Empirical Applications," Cowles Foundation Discussion Papers 1023, Cowles Foundation for Research in Economics, Yale University.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012.
"Testing for unit roots in the presence of uncertainty over both the trend and initial condition,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 188-195.
- David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Discussion Papers 08/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
- Kleibergen, Frank & Paap, Richard, 2002.
"Priors, posteriors and bayes factors for a Bayesian analysis of cointegration,"
Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
- Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Burak Saltoglu, 1998. "Speed of adjustment to the long-run equilibrium: an application with US Stock Price and Dividend data," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 367-375.
- Pesaran, Hashem & Timmermann, Allan, 2005.
"Real-Time Econometrics,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 212-231, February.
- M. Hashem Pesaran & Allan Timmermann, 2004. "Real Time Econometrics," CESifo Working Paper Series 1169, CESifo.
- Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," CEPR Discussion Papers 4402, C.E.P.R. Discussion Papers.
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," IZA Discussion Papers 1108, Institute of Labor Economics (IZA).
- Lorenzo Trapani, 2021.
"Testing for strict stationarity in a random coefficient autoregressive model,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
- Lorenzo Trapani, 2018. "Testing for strict stationarity in a random coefficient autoregressive model," Discussion Papers 18/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Aaron Schiff & Peter Phillips, 2000.
"Forecasting New Zealand's real GDP,"
New Zealand Economic Papers, Taylor & Francis Journals, vol. 34(2), pages 159-181.
- Aaron F. Schiff & Peter C.B. Phillips, 2000. "Forecasting New Zealand's Real GDP," Cowles Foundation Discussion Papers 1278, Cowles Foundation for Research in Economics, Yale University.
- Schiff, Aaron & Phillips, Peter, 2000. "Forecasting New Zealand's Real GDP," Working Papers 186, Department of Economics, The University of Auckland.
- Phillips, Peter C. B., 1995. "Bayesian prediction a response," Journal of Econometrics, Elsevier, vol. 69(1), pages 351-365, September.
- Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation for Research in Economics, Yale University.
- David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 239-260, October.
- Ayat, Leila & Burridge, Peter, 2000. "Unit root tests in the presence of uncertainty about the non-stochastic trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 71-96, March.
- Ivanov Ventzislav & Kilian Lutz, 2005. "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-36, March.
- Ho, Paul, 2023.
"Global robust Bayesian analysis in large models,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
- Paul Ho, 2019. "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers 390, Society for Economic Dynamics.
- Paul Ho, 2020. "Global Robust Bayesian Analysis in Large Models," Working Paper 20-07, Federal Reserve Bank of Richmond.
- Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014.
"X-Differencing And Dynamic Panel Model Estimation,"
Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
- Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "X-Differencing and Dynamic Panel Model Estimation," Cowles Foundation Discussion Papers 1747, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
- Juan Carlos Cuestas & Luis A. Gil-Alana & Laura Sauci, 2020. "Public finances in the EU-27: Are they sustainable?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(1), pages 181-204, February.
- Reschenhofer, Erhard, 1996. "Approximating the Bayes factor," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 241-245, October.
- David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
- Munehisa Kasuya & Tomoki Tanemura, 2000. "Small Scale Bayesian VAR Modeling of the Japanese Macro Economy Using the Posterior Information Criterion and Monte Carlo Experiments," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
- Kim, Jae-Young, 2012. "Model selection in the presence of nonstationarity," Journal of Econometrics, Elsevier, vol. 169(2), pages 247-257.
- Kleibergen, F.R. & Paap, R., 1996. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Econometric Institute Research Papers EI 9668-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.