Unit Root Test of Autoregressive Time Series Model with Partially Linear Time Trend: A Bayesian Approach
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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.
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Jitendra Kumar, Ashutosh Shukla. 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 2024 May 16];13(4):413-2. Available from: https://www.iaps.org.in/journal/index.php/journaliaps/article/view/225
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