Franses, P.H.; Koop, G. - Econometrisch Instituut, Faculteit der Economische … - 1996
In this paper we analyze the sensitivity of unit root inference to nonlinear transformations through Bayesian techniques. We make joint inference about the Box-Cox transformation, which includes the cases yt and log(yt), and the unit root. When we apply our method to the fourteen Nelson-Plosser...