Bayesian Encompassing Tests of a Unit Root Hypothesis
针对单位根假设的简单检验问题，报告了使用贝叶斯包含检验的经验，讨论了数值方法和高效模拟，并评估了先验设定和实证证据对单位根推断的影响。
The object of this paper is to report, for a simple testing problem of a unit root hypothesis, some experience regarding the numerical problems involved by using a Bayesian encompassing test, i.e., a Bayesian procedure that treats the null and the alternative hypotheses as different models, the null one and the alternative one, that share a same sample space but with different parameter spaces. Numerical procedures and efficient simulations are discussed briefly, and the numerical results so obtained are used to evaluate the meaning of the prior specification and of the empirical evidence about a unit root inference.