Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
Jaiswal Shivam (),
Anoop Chaturvedi () and
Muhammad Bhatti ()
Studies in Nonlinear Dynamics & Econometrics, 2022, vol. 26, issue 1, 25-34
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.
Keywords: Bayes factor; ESTAR process; OECD; posterior odds ratio; real effective exchange rate (REER); unit root (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:26:y:2022:i:1:p:25-34:n:9
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