The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 1991, Volume 59, Issue 6
https://doi.org/0012-9682(199111)59:6<1591:UURAHT>2.0.CO;2-E
p. 1591-1599
Christopher A. Sims, Harald Uhlig
While technically $p$-values should not be interpreted as probablities, they often are, and their usual asymptotic equivalence to Bayesian posterior tail probabilities provides an approximate justification for doing so. In inference about possibly nonstationary dynamic models the usual asymptotic equivalence fails, however. We show with three-dimensional graphs how it is possible that in autoregressive models the distribution of the estimator is skewed asymptotically, while the likelihood and hence the posterior pdf remains symmetric. We show that no single prior can rationalize treating $p$-values as probabilities in these models, and we display examples of the sample-dependent "priors" that would do so. We argue that these results imply at a minimum that the usual test statistics and covariance matrices for autoregressions, which characterize the likelihood shape in dynamic models just as in static regression models, should be reported without any corrections for the special unit root distribution theory, even if the corrected classical $p$-values are reported as well.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
