Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

Autor:	Anoop Chaturvedi, Muhammad Ishaq Bhatti, Shivam Jaiswal
Rok vydání:	2020
Předmět:	Economics and Econometrics Computer science 05 social sciences Oecd countries Bayesian inference 01 natural sciences 010104 statistics & probability Autoregressive model 0502 economics and business Econometrics Unit root 050207 economics 0101 mathematics Social Sciences (miscellaneous) Analysis
Zdroj:	Studies in Nonlinear Dynamics & Econometrics. 26:25-34
ISSN:	1558-3708
Popis:	This paper proposes a Bayesian unit root test for testing a non-stationary random walk of nonlinear exponential smooth transition autoregressive process. It investigates the performance of Bayes estimators and Bayesian unit root test due to its superiority in estimation and power properties than reported in existing literature. The proposed approach is applied to the real effective exchange rates of 10 selected countries of the organization of economic co-operation and development (OECD) and the paper observe some interesting findings which demonstrate the usefulness of the model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::326e344052f503e00b775dbb3f1aceae https://doi.org/10.1515/snde-2019-0133 Zobrazit plný text záznamu