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

DOI10.1007/S11222-012-9371-3zbMath1325.62170OpenAlexW2056790197MaRDI 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 dataautoregressive modelsBayesian inferencemodel comparisoncross-sectional dependenceunit root detection

Mathematics Subject Classification ID

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

Related Items (2)

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?

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