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arXiv 2102.10048econ.EMstat.ME
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单位根检验的近似Bayes因子

Approximate Bayes factors for unit root testing

Magris Martin, Iosifidis Alexandros

摘要:

本文介绍了一种可行的、实用的金融时间序列单位根检验的贝叶斯方法。我们提出了一个方便的近似贝叶斯因子的贝叶斯信息准则作为一个简单而有效的策略,用于检验单位根假设。我们的近似方法依赖于很少的假设,具有普遍适用性,并保持令人满意的错误率。在其优点中,它不需要指定模型参数的先验分布。我们对实际汇率的模拟研究和实证应用表明,所提出的简单方法与贝叶斯和非贝叶斯方法具有很好的一致性。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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