An Efficiency Bayesian Unit Root Test in Unobserved-ARCH Models, By Mahmoud Afshari

Research

Title	An Efficiency Bayesian Unit Root Test in Unobserved-ARCH Models
Type	Article
Keywords	—
Journal	COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
DOI	—
Researchers	Fazlollah Lak (First researcher) , Mahmoud Afshari (Second researcher) ,

Abstract

This paper investigates the new prior distribution on the Unobserved-ARCH unit root test. Monte Carlo simulations show that the sample size is seriously eective in eciency of Bayesian test. To improve the performance of Bayesian test for unit root we propose a new Bayesian test that is robust in the presence of stationary and nonstationary Unobserved-ARCH. The nite sample property of the proposed test statistic is evaluated using Monte Carlo studies. Applying the developed method, we test the policy of daily exchange rate of the German Marc with respect to the Greek Drachma.