Approximate Bayes factors for unit root testing
单位根检验的近似贝叶斯因子
This paper introduces a feasible and practical Bayesian method for unit root testing in financial time series. We propose a convenient approximation of the Bayes factor in terms of the Bayesian Information Criterion as a straightforward and effective strategy for testing the unit root hypothesis. Our approximate approach relies on few assumptions, is of general applicability, and preserves a satisfactory error rate. Among its advantages, it does not require the prior…