Unit Root Test of Autoregressive Time Series Model with Partially Linear Time Trend: A Bayesian Approach

Article Sidebar

PDF
Published: 2009-12-15
Keywords:
autoregressive models; partially linear time trend; unit root hypothesis; prior distribution; posterior odds ratio

Main Article Content

Jitendra Kumar
Department of Mathematics & Statistics Allahabad Agriculture Institute-Deemed University, Allahabad, UP-211007, India
Ashutosh Shukla
Department of Mathematics & Statistics Allahabad Agriculture Institute-Deemed University, Allahabad, UP-211007, India

Abstract

The present paper considers the Bayesian analysis of an autoregressive model involving partially linear time trend. The posterior odds ratio for testing the unit root hypothesis is obtained under appropriate prior assumptions. A simulation study is carried out with the objective of observing the impact of misspecifying time trend on the posterior odds ratio of unit root hypothesis.

Downloads

Download data is not yet available.

Article Details

Issue

Vol. 13 No. 4 (2009): Table of Content

Section

Articles
Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

How to Cite

1.
Unit Root Test of Autoregressive Time Series Model with Partially Linear Time Trend: A Bayesian Approach. J. Int. Acad. Phys. Sci. [Internet]. 2009 Dec. 15 [cited 2026 Oct. 23];13(4):413-2. Available from: http://www.iaps.org.in/journal/index.php/journaliaps/article/view/225

Most read articles by the same author(s)