  This paper introduces a feasible and practical Bayesian method for unit root
testing in financial time series. We propose a convenient approximation of the
Bayes factor in terms of the Bayesian Information Criterion as a
straightforward and effective strategy for testing the unit root hypothesis.
Our approximate approach relies on few assumptions, is of general
applicability, and preserves a satisfactory error rate. Among its advantages,
it does not require the prior distribution on model's parameters to be
specified. Our simulation study and empirical application on real exchange
rates show great accordance between the suggested simple approach and both
Bayesian and non-Bayesian alternatives.
