Bayesian unit root tests in panel data by using MCMC algorithm

MaRDI QIDQ3194033zbMATH OpenFDO

Authors Sufang Li, Huiming Zhu, Rong Li

Publication date 28 October 2015

zbMATH Keywords

panel dataquantilesimulationBayesian methodsunit root

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(4)

• Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
• Bayesian unit root testing: the effect of choice of prior on test outcomes
• Bayesian computation and analysis of C-PAR(1) time series model with structural break

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