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Bayesian analysis of panel data using an MTAR model

Title
Bayesian analysis of panel data using an MTAR model
Authors
Jung Y.Y.Shin D.W.Oh M.-S.
Ewha Authors
오만숙신동완
SCOPUS Author ID
오만숙scopus; 신동완scopus
Issue Date
2005
Journal Title
Journal of Applied Statistics
ISSN
0266-4763JCR Link
Citation
vol. 32, no. 8, pp. 841 - 854
Indexed
SCIE; SCOPUS WOS scopus
Abstract
Bayesian analysis of panel data using a class of momentum threshold autoregressive (MTAR) models is considered. Posterior estimation of parameters of the MTAR models is done by using a simple Markov Chain Monte Carlo (MCMC) algorithm. Selection of appropriate differenced variables, test for asymmetry and unit roots are recast as model selections and a simple way of computing posterior probabilities of the candidate models is proposed. The proposed method is applied to the yearly unemployment rates of 51 US states and the results show strong evidence of stationarity and asymmetry. © 2005 Taylor & Francis.
DOI
10.1007/s00170-003-1931-4
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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