Resumen de Bayesian and non-bayesian unit root test for spanish exchange rates
One of the most discussed topics in econometrics today is the unit root tests applied to economic time series, and specially to financial time series. New tests have been developed to verify the unit root hypothesis but in econometrics there is a considerable number of tests, not specificly derived to verify this hypothesis, that can explain some contradictory results in the recent literature. The aim of this paper is to test the random walk hypothesis, narrowly tyed to the weak version of the Jensen (1978)'s market efficiency hypothesis, for three Spanish peseta exchange rates, using different tests. To attain this objective, we will make use of two kind of tests, classical and Bayesian, including thus, within the classical framework, the tests specificly derived to verify the unit root hypothesis and other tests developed in econometrics. Within the Bayesian approach, we will use different tests depending on the prior information that we will consider.
