This paper offers a general approach to time series modeling that attempts to reconcile classical and methods. The central idea put forward to achieve reconciliation is that the Bayesian approach relies implicitly a frame of reference for the data generating mechanism that is quite different...

In two recent articles, Sims (1988) and Sims and Uhlig (1988) question the value of much of the ongoing literature on unit roots and stochastic trends. They characterize the seeds of this literature as "sterile ideas," the application of nonstationary limit theory as "wrongheaded and...

In his paper "To Criticize the Critics" (1991), Peter Phillips discusses Bayesian methodology for time series models. The main point that Uhlig and I set out to make, however, was that careful consideration of the implications of the likelihood principle suggests that much of the recent work...