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

DOI10.1007/S11222-012-9371-3MaRDI QIDQ892473zbMATHOpenAlexFDO

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

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

(5)

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

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