Unit Root Test for Panel Data AR(1) Time Series Model With Linear Time Trend and Augmentation Term: A Bayesian Approach

Authors

Jitendra Kumar, Central University of Rajasthan, IndiaFollow
Anoop Chaturvedi, University of Allahabad, IndiaFollow
Umme Afifa, Central University of Rajasthan, IndiaFollow
Shafat Yousuf, Central University of Rajasthan, IndiaFollow
Saurabh Kumar, Central University of Rajasthan, IndiaFollow

Abstract

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.

DOI

10.22237/jmasm/1509494880

Recommended Citation

Kumar, J., Chaturvedi, A., Afifa, U., Yousuf, S., & Kumar, S. (2017). Unit Root Test for Panel Data AR(1) Time Series Model With Linear Time Trend and Augmentation Term: A Bayesian Approach. Journal of Modern Applied Statistical Methods, 16(2), 138-156. doi: 10.22237/jmasm/1509494880