Bayesian Unit Root Test for Panel Data
Anoop Chaturvedi () and
EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels
The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis. The posterior odds ratio (POR) is derived under appropriate prior assumptions and then empirical analysis is carried out for testing the unit root hypothesis of Net Asset Value of National Pension schemes (NPS) for different fund managers. The unit root hypothesis for the model with linear time trend and linear time trend with augmentation term is carried out. The estimated autoregressive coefficient is far away from one in case of linear time trend only so, testing is not executed but in consideration of augmentation term, it is close to one. Therefore, we performed the unit root hypothesis testing using the derived POR. In all cases unit root hypothesis is rejected therefore all NPS series are concluded trend stationary.
Keywords: Panel data; Stationarity; Autoregressive time series; Unit root; Posterior odds ratio; New Pension Scheme; Net Asset Value. (search for similar items in EconPapers)
JEL-codes: C11 C12 C22 C23 C39 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Journal Article: Bayesian Unit Root Test for Panel Data (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eei:rpaper:eeri_rp_2016_14
Access Statistics for this paper
More papers in EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels Contact information at EDIRC.
Bibliographic data for series maintained by Julia van Hove ().