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A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorKoop, Gary
dc.contributor.authorSteel, Mark F.J.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-02-18T11:05:31Z
dc.date.available2009-02-18T11:05:31Z
dc.date.issued1993-05
dc.description.abstractThis paper develops a formal decision theoretic approach to testing for a unit root in economic time series. The approach is empirically implemented by specifying a loss function based on predictive variances; models are chosen so as to minimize expected loss. In addition, the paper broadens the class of likelihood functions traditionally considered in the Bayesian unit root literature by: i) Allowing for departures from normality via the specification of a likelihood based on general elliptical densities; ii) allowing for structural breaks to occur; iii) allowing for moving average errors; and iv) using mixtures of various submodels to create a very flexible overall likelihood. Empirical results indicate that, while the posterior probability of trend-stationarity is quite high for most of the series considered, the unit root model is often selected in the decision theoretic analysis.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/3706
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries1993-13-11
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherBayesian
dc.subject.otherMonte Carlo integration
dc.subject.otherLoss function
dc.subject.otherPrediction
dc.titleA decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models
dc.typeworking paper*
dspace.entity.typePublication
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