Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

DOI10.1515/SNDE-2019-0133OpenAlexW3115186369MaRDI QIDQ2700527

M. Ishaq Bhatti, Anoop Chaturvedi, Shivam Jaiswal

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0133

zbMATH Keywords

OECDBayes factorunit rootposterior odds ratioESTAR processreal effective exchange rate (REER)

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• R2WinBUGS

Cites Work

• Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances
• Bayesian estimation and forecasting in non-linear models
• A unit root test against globally stationary ESTAR models when local condition is non-stationary
• Bayesian sequential data collection for stochastic simulation calibration
• Robust Bayesian analysis of a multivariate dynamic model
• Testing for a unit root against ESTAR stationarity
• Marginal Likelihood from the Gibbs Output
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Bayesian inference for smooth transition autoregressive (STAR) model: A prior sensitivity analysis
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion

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