Unit Root Inference
This chapter examines the application of the unit root hypothesis in econometric analysis, particularly in the Bayesian inference approach. It explains that testing for a unit root in a Bayesian framework is one of the most controversial topics in the economic literature. This is because testing is one of the hot topics among classical and Bayesian statisticians and because the unit root hypothesis is a point hypothesis and Bayesians do not like testing a point hypothesis because it is not natural to compare an interval which receives a positive probability with a point null hypothesis of zero mass.
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