Noninformative Priors and Bayesian Testing for the AR(1) Model
研究了AR(1)模型中非信息先验的多种构造方法，推荐对称化平稳参考先验，并探讨了单位根、平稳和爆炸性假设的贝叶斯检验，发现贝叶斯因子边界与经典检验结果存在冲突。
Various approaches to the development of a noninformative prior for the AR(1) model are considered and compared. Particular attention is given to the reference prior approach, which seems to work well for the stationary case but encounters difficulties in the explosive case. A symmetrized (proper) version of the stationary reference prior is ultimately recommended for the problem. Bayesian testing of the unit root, stationary, and explosive hypotheses is considered also. Bounds on the Bayes factors are developed and shown to yield answers that appear to conflict with classical tests.