On the stability of the unit root test

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.