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Bayesian Analysis of Unit Root Testing for Panel Data Time Series Model in the Presence of Time Effect.

Author(s)
Jitendra Kumar Department of Statistics, Central University of Rajasthan, Kishangarh, Rajasthan, India
Anoop Chaturvedi Department of Statistics, University of Allahabad Allahābād, India
Umme Afifa Department of Statistics, Central University of Rajasthan, India
Abstract
Univariate time series models are variable centric and exclude the information of other associated variables. However, panel data time series models are frequently applied when there are several similar variables under study or a variable is recorded over time at multiple places. Present work deals with Bayesian analysis of panel data unit root test for AR (1) time series model involving time effect. Simple panel data time series model doesn't consider the time effect, which is an important variable and may affect the time series model properties. The posterior odds ratio for testing the unit root hypothesis is derived under appropriate prior assumptions. To get the justification and illustration of the theorem, practical performance of posterior odds ratio has been explored through simulated and real data. Simulation and real data analysis results justify the theoretical results.
Publication Details
Page(s) 381-396
DOI DOI not available
Published Journal: Pakistan Journal of Statistics, Volume: 34, Issue: 5, Year: 2018

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