- Afr. Stat.
- Volume 5, Number 1 (2010), 228-237.
On the stability of the unit root test
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.
Afr. Stat., Volume 5, Number 1 (2010), 228-237.
First available in Project Euclid: 1 January 2014
Permanent link to this document
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
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