Bayesian Unit Root Test with Outliers Observations: The Case of Daily Returns of 50 Active in Tehran Stock Exchange Companies
The main drawback of classical ADF and PP tests is the low power of test in small samples and their asymptotic distribution discontinuous. In contrast, many prominent scholars support the Bayesian unit root tests. In the present study, Bayesian unit root tests as an alternative to the classical meth...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Semnan University
2019-08-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_3979_432bebad194649f4462a6adf1aee29b8.pdf |