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Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

Author

Listed:
  • Jaiswal Shivam
  • Chaturvedi Anoop

    (Department of Statistics, University of Allahabad, Allahabad, India)

  • Bhatti Muhammad Ishaq

    (Department of Economics, Finance & Marketing, LBS, La Trobe University, Melbourne, Australia)

Abstract

This paper proposes a Bayesian unit root test for testing a non-stationary random walk of nonlinear exponential smooth transition autoregressive process. It investigates the performance of Bayes estimators and Bayesian unit root test due to its superiority in estimation and power properties than reported in existing literature. The proposed approach is applied to the real effective exchange rates of 10 selected countries of the organization of economic co-operation and development (OECD) and the paper observe some interesting findings which demonstrate the usefulness of the model.

Suggested Citation

  • Jaiswal Shivam & Chaturvedi Anoop & Bhatti Muhammad Ishaq, 2022. "Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 25-34, February.
    • Handle: RePEc:bpj:sndecm:v:26:y:2022:i:1:p:25-34:n:9
    DOI: 10.1515/snde-2019-0133
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