The present paper considers the testing of unit root hypothesis for an autoregressive model with polynomial trend under Bayesian framework. Under the unit root hypothesis the trend component does not vanish completely and its degree reduces by one. The posterior odds ratio for the unit root...

The present article considers Bayesian unit root test for autoregressive model involving structural break in variance. The posterior odds ratio for testing of unit root hypothesis against the alternative of break in variance has been derived under appropriate prior assumptions for the...