Priors for unit root models

A method of assessing an economistʹs subjective prior for a unit root model is given, and applied. The methods extend previous work by allowing a family of piecewise conjugate prior distribution that permit different opinions when ϱ <1, ϱ = 1, and ϱ > 1. This larger family is still closed under sampling, so it retains the simplicity that is the principal advantage of conjugate analysis.