Should i test for unit root the variables when i estimate the parameters with Bayesian technique ?

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William C Hutton

A unit root test contains a mathematical model with its own set parameters.

At first glance, it should be possible to compute parameter estimates and their uncertainties using Bayesian methods. I’m not sure a unit root test would provide new information. I guess that depends on the mathematical model you used for the initial parameter estimates.

Chuck A Arize

Yes, it is a good practice to test for unit root variables, especially when the parameters are estimated with Bayesian technique.