Panel data unit root test with structural break: a Bayesian approach

MaRDI QIDQ5157683zbMATH OpenFDO

Authors Jitendra Kumar, Varun Agiwal

Publication date 19 October 2021

Full work available at URL https://dergipark.org.tr/en/pub/hujms/issue/47862/604512

zbMATH Keywords

Monte Carlo integrationpanel autoregressive modelposterior odds ratioprior distributionstructural break

Mathematics Subject Classification ID

Bayesian inference (62F15) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
• Bayes Factors
• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Common breaks in means and variances for panel data
• Estimating the number of change-points via Schwarz' criterion
• Estimation and comparison of multiple change-point models
• Estimation of heterogeneous panels with structural breaks
• Further evidence on breaking trend functions in macroeconomic variables
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Testing for change points in time series
• Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
• Unit root tests in panel data: asymptotic and finite-sample properties
• Unit root tests with a break in innovation variance.

Cited in

(5)

• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Bayesian computation and analysis of C-PAR(1) time series model with structural break
• Model specification in panel data unit root tests with an unknown break

Describes a project that uses

Uses Software

• strucchange

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