A Bayesian Analysis of Unit Roots in Panel Data Models with Cross-sectional Dependence
نویسندگان
چکیده
In this paper a Bayesian approach to unit root testing for panel data models is proposed based on the comparison of stationary autoregressive models with and without individual deterministic trends, with their counterpart models with a unit autoregressive root. This is done under cross-sectional dependence among the units of the panel. Simulation experiments are conducted with the aim to assess the performance of the suggested inferential procedure, as well as to investigate if the Bayesian model comparison approach can distinguish unit root models from stationary autoregressive models under or without cross-sectional depenendence. The approach is applied to real GDP data for a panel of G7. JEL Classification: C11, C22, G10
منابع مشابه
Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model
Solberger, M. 2013. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model. Acta Universitatis Upsaliensis. Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences 90. 51 pp. Uppsala. ISBN 978-91-554-8754-6. Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people,...
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