{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,11,2]],"date-time":"2023-11-02T18:03:11Z","timestamp":1698948191609},"reference-count":12,"publisher":"Cambridge University Press (CUP)","issue":"3-4","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":5308,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1994,8]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1017\/s0266466600008665","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:43:23Z","timestamp":1236699803000},"page":"552-578","source":"Crossref","is-referenced-by-count":24,"title":["A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model"],"prefix":"10.1017","volume":"10","author":[{"given":"Eric","family":"Zivot","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600008665_ref012","article-title":"A Bayesian analysis of trend determination in economic time series","author":"Zivot","journal-title":"Econometric Reviews"},{"key":"S0266466600008665_ref011","volume-title":"An Introduction to Bayesian Analysis in Econometrics","author":"Zellner","year":"1971"},{"key":"S0266466600008665_ref008","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(91)90014-5"},{"key":"S0266466600008665_ref007","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008677"},{"key":"S0266466600008665_ref006","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00002.x"},{"key":"S0266466600008665_ref003","volume-title":"The Theory and Practice of Econometrics","author":"Judge","year":"1985"},{"key":"S0266466600008665_ref002","first-page":"600","article-title":"The temporal stability of dividends and stock prices: Evidence from the likelihood function","volume":"81","author":"DeJong","year":"1989","journal-title":"American Economic Review"},{"key":"S0266466600008665_ref001","article-title":"Trends and random walks in macroeconomic time series: A reconsideration based on the likelihood principle","author":"DeJong","journal-title":"Journal of Monetary Economics"},{"key":"S0266466600008665_ref009","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060407"},{"key":"S0266466600008665_ref004","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060402"},{"key":"S0266466600008665_ref005","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060411"},{"key":"S0266466600008665_ref010","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008707"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600008665","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,15]],"date-time":"2019-05-15T03:22:26Z","timestamp":1557890546000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600008665\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1994,8]]},"references-count":12,"journal-issue":{"issue":"3-4","published-print":{"date-parts":[[1994,8]]}},"alternative-id":["S0266466600008665"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600008665","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1994,8]]}}}