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

DOI10.1007/s11222-012-9371-3zbMath1325.62170MaRDI QIDQ892473

Elias Tzavalis, Ioannis D. Vrontos, Loukia Meligkotsidou

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

zbMATH Keywords

panel data; autoregressive models; Bayesian inference; model comparison; cross-sectional dependence; unit root detection

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

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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

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