A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence

DOI10.1007/S11222-012-9371-3zbMATH Open1325.62170OpenAlexW2056790197MaRDI QIDQ892473FDOQ892473

Authors: Loukia Meligkotsidou, Elias Tzavalis, I. D. Vrontos 

Publication date: 19 November 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-012-9371-3

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zbMATH Keywords

Bayesian inferencepanel datacross-sectional dependencemodel comparisonautoregressive modelsunit root detection

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited In (3)

• A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

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