{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T11:06:16Z","timestamp":1791889576260,"version":"4.3.4"},"reference-count":21,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,11,7]],"date-time":"2006-11-07T00:00:00Z","timestamp":1162857600000},"content-version":"vor","delay-in-days":5424,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[1992,1]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>Due to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time\u2010series. Bayesian posterior odds comparing unit root models to stationary and trend\u2010stationary alternatives are calculated using informative priors. Two classes of reference priors which are informative but require minimal subjective prior input are used. In this sense the Bayesian unit root tests developed here are objective. Bayesian procedures are carried out on the Nelson\u2013Plosser and Shiller data sets as well as on generated data. The conclusion is that the failure of classical procedures to reject the unit root hypothesis is not necessarily proof that a unit root is present with high probability.<\/jats:p>","DOI":"10.1002\/jae.3950070107","type":"journal-article","created":{"date-parts":[[2007,7,12]],"date-time":"2007-07-12T16:50:36Z","timestamp":1184259036000},"page":"65-82","source":"Crossref","is-referenced-by-count":30,"title":["\u2018Objective\u2019 bayesian unit root tests"],"prefix":"10.1002","volume":"7","author":[{"given":"G.","family":"Koop","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2006,11,7]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4286-2"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1214\/ss\/1177013238"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884285"},{"key":"e_1_2_1_5_1","unstructured":"DeJong D. andC.Whiteman (1988) \u2018Trends and random walks in macroeconomic time series: a reconsideration based on the likelihood principle\u2019 manuscript University of Iowa."},{"key":"e_1_2_1_6_1","unstructured":"DeJong D. J. Nankervis N.SavinandC.Whiteman (1988) \u2018Integration versus trend\u2010stationarity in macroeconomic time series\u2019 University of Iowa Department of Economics Working Paper No. 88\u201327."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Koop G. (1991) \u2018Intertemporal properties of real output: a Bayesian analysis\u2019 forthcoming Journal of Business and Economic Statistics.","DOI":"10.2307\/1391290"},{"key":"e_1_2_1_9_1","volume-title":"Specification Searches","author":"Leamer E.","year":"1978"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911520"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90012-5"},{"key":"e_1_2_1_12_1","unstructured":"Ouliaris S. J. ParkandP.Phillips (1988) \u2018Testing for a unit root in the presence of a maintained time trend\u2019 University of Maryland Working PaperNo. 88\u201337."},{"key":"e_1_2_1_13_1","volume-title":"A new approach to testing for a unit root","author":"Park J.","year":"1988"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90001-1"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90001-1"},{"key":"e_1_2_1_16_1","first-page":"599","article-title":"Testing for a unit root in time series regression","volume":"71","author":"Phillips P.","year":"1988","journal-title":"Biometrika"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/71.3.599"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Schwert G. (1989) \u2018Tests for unit roots: a Monte\u2010Carlo investigation\u2019 NBER Technical Working PaperNo. 73.","DOI":"10.3386\/t0073"},{"key":"e_1_2_1_19_1","first-page":"421","article-title":"Do stock prices move too much to be justified by subsequent changes in dividends?","volume":"71","author":"Shiller R.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Sims C. (1988) \u2018Bayesian scepticism on unit root econometrics\u2019 Institute for Empirical Macroeconomics Discussion Paper 3 Federal Reserve Board of Minneapolis University of Minnesota.","DOI":"10.21034\/dp.3"},{"key":"e_1_2_1_21_1","volume-title":"Bayesian Inference and Decision Techniques","author":"Zellner A.","year":"1986"},{"key":"e_1_2_1_22_1","volume-title":"Bayesian Statistics","author":"Zellner A.","year":"1980"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.3950070107","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.3950070107","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T19:04:45Z","timestamp":1698087885000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.3950070107"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1992,1]]},"references-count":21,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,1]]}},"alternative-id":["10.1002\/jae.3950070107"],"URL":"https:\/\/doi.org\/10.1002\/jae.3950070107","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[1992,1]]}}}