A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model
将Phillips的结果扩展到非线性非观测成分模型，基于平坦先验和Jeffreys先验开发了单位根假设的后验优势比检验，强调了初始值处理对平稳性和单位根推断的重要性。
In this paper we extend some of Phillips's [4] results to nonlinear unobserved components models and develop a posterior odds ratio test of the unit root hypothesis based on flat and Jeffreys priors. In contrast to the analysis presented by Schotman and van Dijk [9], we utilize a nondegenerate structural representation of the components model that allows us to determine well-behaved Jeffreys priors, posterior densities under flat priors and Jeffreys priors, and posterior odds ratios for the unit root hypothesis without a proper prior for the level parameter. The analysis highlights the importance of the treatment of initial values for inference concerning stationarity and unit roots.