Levin, Andrew T. (contributor); … - 2003 - [Elektronische Ressource], rev
the posterior distribution is below unity
for all but two of the 48 inflation series.
These results indicate that high … constructed based on an asymptotic normal distribution for ρˆ do not have correct
coverage. To remedy these deficiencies with … (1999), which simulates
the sampling distribution of the t-statistic
)ˆ(
ˆ
ρ
ρρ
se
t
−
= over a grid of possible true …