Bayesian analysis of panel data using an MTAR model |
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Authors: | Yoon Young Jung Dong Wan Shin Man-Suk Oh |
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Institution: |
a Department of Statistics, Ewha Womans University, Seoul, Korea |
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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. |
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Keywords: | MTAR panel data MCMC model selection |
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