BAYESTST unit root test
Posted: Sat Jul 02, 2016 9:52 am
Dear all,
I try to modify Nakajima (2011) codes for my paper. The data used in the original paper has unit root. Most of the TVP-VAR papers that I have read so far, don’t contain unit-root test statistics results. I replicate the codes with both unit root and stationary series. The series that have unit root give better results.
I think TVP-VAR estimation is based on the Bayesian techniques, so may I use BAYESTST unit root test instead of the classical unit root tests.
I have uploaded the the codes and excel file. May I interpret as all series stationary with this Bayesian unit root test ?
One of the my series (namely IP) has trend, so I have calculated it with trend. The others has been calculated without trend.
Could you give me some examples that employ this unit root tests before the estimation of the TVP-VAR model, please? (I haven't found yet)
I try to modify Nakajima (2011) codes for my paper. The data used in the original paper has unit root. Most of the TVP-VAR papers that I have read so far, don’t contain unit-root test statistics results. I replicate the codes with both unit root and stationary series. The series that have unit root give better results.
I think TVP-VAR estimation is based on the Bayesian techniques, so may I use BAYESTST unit root test instead of the classical unit root tests.
I have uploaded the the codes and excel file. May I interpret as all series stationary with this Bayesian unit root test ?
One of the my series (namely IP) has trend, so I have calculated it with trend. The others has been calculated without trend.
Could you give me some examples that employ this unit root tests before the estimation of the TVP-VAR model, please? (I haven't found yet)
Code: Select all
Bayesian Unit Root Test (IP with trend)
Squared t Schwarz Limit Small Sample Limit Marginal Alpha
8.641 7.870 1.873 0.1195
Bayesian Unit Root Test (CPI)
Squared t Schwarz Limit Small Sample Limit Marginal Alpha
347.406 15.368 9.371 0.0000
Bayesian Unit Root Test (M1)
Squared t Schwarz Limit Small Sample Limit Marginal Alpha
20.010 13.465 7.468 0.0075
Bayesian Unit Root Test (CBRT)
Squared t Schwarz Limit Small Sample Limit Marginal Alpha
42.705 6.437 0.441 0.0000
Bayesian Unit Root Test (FKE)
Squared t Schwarz Limit Small Sample Limit Marginal Alpha
11.210 7.556 1.559 0.0311
Bayesian Unit Root Test (CREDIT)
Squared t Schwarz Limit Small Sample Limit Marginal Alpha
94.586 14.965 8.968 0.0000