On Bayesian routes to unit roots
评论Phillips(1991)的客观贝叶斯分析，探讨不同先验选择下单位根假设的后验优势比分析，指出均匀先验和Jeffreys先验不适合单位根这种尖锐零假设，并基于扩展的Nelson-Plosser数据给出实证结果。
Abstract This paper is a comment on P. C. B. Phillips, ‘To criticise the critics: an objective Bayesian analysis of stochastic trends’ [Phillips, (1991)]. Departing from the likelihood of an univariate autoregressive model different routes that lead to a posterior odds analysis of the unit root hypothesis are explored, where the differences in routes are due to the different choices of the prior. Improper priors like the uniform and the Jeffreys prior are less suited for Bayesian inference on a sharp null hypothesis as the unit root. A proper normal prior on the mean of the process is analysed and empirical results using extended Nelson‐Plosser data are presented.