Afrika Statistika

On the stability of the unit root test

Lynda Atil and Hocine Fellag

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Abstract

We propose to study, by two different approaches, Bayesian and classical, the test of the hypothesis of stationary first order autoregressive model against the random walk model. Therefore, we are going to present the classical approach and the Bayesian approach of this test says the unit root test. The principal aim is to improve the unit root test, either with proposing a better statistic, or with proposing an adequate prior in order to make it more powerful.

Article information

Source
Afr. Stat., Volume 5, Number 1 (2010), 228-237.

Dates
First available in Project Euclid: 1 January 2014

Permanent link to this document
https://projecteuclid.org/euclid.as/1388545344

Mathematical Reviews number (MathSciNet)
MR2920299

Zentralblatt MATH identifier
1244.62121

Subjects
Primary: 62F11
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]

Keywords
Autoregressive model Dickey-Fuller test Posterior odds Power Unit root

Citation

Atil, Lynda; Fellag, Hocine. On the stability of the unit root test. Afr. Stat. 5 (2010), no. 1, 228--237. https://projecteuclid.org/euclid.as/1388545344


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