A Bayesian Analysis of Autoregressive Time Series Panel Data

Balgobin Nandram and Joseph D Petruccelli

Journal of Business & Economic Statistics, 1997, vol. 15, issue 3, 328-34

Abstract: The authors describe a Bayesian hierarchical model to analyze autoregressive time series panel data. They develop two algorithms using Markov-chain Monte Carlo methods, a restricted algorithm that enforces stationarity or nonstationarity conditions on the series, and an unrestricted algorithm that does not. Two examples show that restricting stationary series to be stationary provides no new information but restricting nonstationary series to be stationary leads to substantial differences from the unrestricted case. These examples and a simulation study also show that, compared with inference based on individual series, there are gains in precision for estimation and forecasting when similar series are pooled.

Date: 1997
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