A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. This analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business Economic Statistics) in two important ways. First, a numerically more...

A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a...

Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC)...

In this paper a new Bayesian approach is proposed to test a point null hypothesis based on the deviance in a decision-theoretical framework. The proposed test statistic may be regarded as the Bayesian version of the likelihood ratio test and appeals in practical applications with three desirable...

A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. Our analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business and Economic Statistics) in the two important ways. First, a...