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- W2012182769 abstract "In this paper, we approximate the distribution of disturbances by the Edgeworth series distribution and propose a Bayesian analysis in a nonnormal AR(1) model. We derive the posterior distribution of the autocorrelation and the posterior odds ratio for unit roots hypothesis in the AR(1) model when the first four cumulants of the Edgeworth series distribution are finite and the higher order cumulants are negligible. We also apply the posterior analysis to eight real exchange rates and investigate whether these exchange rates behave like a random walk or not." @default.
- W2012182769 created "2016-06-24" @default.
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- W2012182769 date "2000-05-01" @default.
- W2012182769 modified "2023-09-25" @default.
- W2012182769 title "Bayesian Unit Root Test in Nonnormal AR(1) Model" @default.
- W2012182769 doi "https://doi.org/10.1111/1467-9892.00185" @default.
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