Authors
Citation
Jb. Kadane et al., PRIORS FOR UNIT-ROOT MODELS, Journal of econometrics, 75(1), 1996, pp. 99-111
Citations number
21
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
ISSN journal
03044076
Volume
75
Issue
1
Year of publication
1996
Pages
99 - 111
Database
ISI
SICI code
0304-4076(1996)75:1<99:PFUM>2.0.ZU;2-E
Abstract
A method of assessing an economist's subjective prior for a unit root
model is given, and applied. The methods extend previous work by allow
ing a family of piecewise conjugate prior distribution that permit dif
ferent opinions when rho < 1, rho = 1, and rho > 1. This larger family
is still closed under sampling, so it retains the simplicity that is
the principal advantage of conjugate analysis.