Due to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time-series. Bayesian posterior odds comparing unit root models to ...

Let Yt satisfy the stochastic difference equation Yt=Σ j=1 pα jYt-j+Σ j=1 qθ jet-j+et, for t = 1,2,..., where et are independent and identically distributed random variables with mean zero and ...