期刊名称：Journal of Modern Applied Statistical Methods
出版年度：2017
卷号：16
期号：2
页码：8
出版社：Wayne State University
摘要：The univariate time series models, in the case of unit root hypothesis, are more biased towards the acceptance of the Unit Root Hypothesis especially in a short time span. However, the panel data time series model is more appropriate in such situation. The Bayesian analysis of unit root testing for a panel data time series model is considered. An autoregressive panel data AR(1) model with linear time trend and augmentation term has been considered and derived the posterior odds ratio for testing the presence of unit root hypothesis under appropriate prior assumptions. A simulation study and real data analysis are carried out for the derived theorem.
关键词：Panel data; Stationarity; Autoregressive time series; Unit Root; Prior and Posterior; Posterior odds ratio
