A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
type: Item
instance of: scholarly article
title: A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
zbMATH Open document ID: 1325.62170
author: Loukia Meligkotsidou
author: Elias Tzavalis
author: I. D. Vrontos
published in: Statistics and Computing
publication date: 2015-11-19T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62-07
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6511666
zbMATH Keywords: autoregressive models
zbMATH Keywords: Bayesian inference
zbMATH Keywords: cross-sectional dependence
zbMATH Keywords: model comparison
zbMATH Keywords: panel data
zbMATH Keywords: unit root detection
MaRDI profile type: Publication
full work available at URL: s11222-012-9371-3
OpenAlex ID: W2056790197
cites work: Panel Data Econometrics
cites work: Nonstationary panels, panel cointegration, and dynamic panels
cites work: Q4293547
cites work: Q4137964
cites work: Nonparametric tests for unit roots and cointegration.
cites work: Q4230831
cites work: Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
cites work: Bootstrap unit root tests in panels with cross-sectional dependency
cites work: Tests for Unit Roots and the Initial Condition
cites work: Bayesian Inference in Econometric Models Using Monte Carlo Integration
cites work: Testing for stationarity in heterogeneous panel data
cites work: Q4840212
cites work: Inference for unit roots in dynamic panels where the time dimension is fixed
cites work: Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
cites work: The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
cites work: Testing for unit roots in heterogeneous panels.
cites work: Bayes Factors
cites work: Unit root tests in panel data: asymptotic and finite-sample properties
cites work: Monte Carlo strategies in scientific computing
cites work: Testing for unit roots in a Bayesian framework
cites work: Unit Roots, Cointegration, and Structural Change
cites work: The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
cites work: A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series
cites work: Testing for a unit root in panels with dynamic factors
cites work: Linear Regression Limit Theory for Nonstationary Panel Data
cites work: Dynamic panel estimation and homogeneity testing under cross section dependence
cites work: A Bayesian analysis of the unit root in real exchange rates
cites work: Bayesian skepticism on unit root econometrics
DOI: 10.1007/S11222-012-9371-3
description: scientific article; zbMATH DE number 6511666