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Author
Agiwal Varun (Central University of Rajasthan, India), Kumar Jitendra (Central University of Rajasthan, India), Shangodoyin Dahud Kehinde (University of Botswana, Botswana)
Title
A Bayesian Inference of Multiple Structural Breaks in Mean and Error Variance in Panel AR (1) Model
Source
Statistics in Transition, 2018, vol. 19, nr 1, s. 7-23, tab., aneks, bibliogr. s. 19-20
Keyword
Modele panelowe, Modele autoregresji, Wnioskowanie bayesowskie
Panel model, Autoregression models, Bayesian inference
Note
summ.
The second author gratefully acknowledges the financial assistance from UGC, India under MRP Scheme (Grant No.42-43/2013).
Abstract
This paper explores the effect of multiple structural breaks to estimate the parameters and test the unit root hypothesis in panel data time series model under Bayesian perspective. These breaks are present in both mean and error variance at the same time point. We obtain Bayes estimates for different loss function using conditional posterior distribution, which is not coming in a closed form, and this is approximately explained by Gibbs sampling. For hypothesis testing, posterior odds ratio is calculated and solved via Monte Carlo Integration. The proposed methodology is illustrated with numerical examples. (original abstract)
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The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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Bibliography
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Cited by
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ISSN
1234-7655
Language
eng
URI / DOI
http://dx.doi.org/10.21307/stattrans-2018-001
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