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Bayesian Estimation of Multiple Covariate of Autoregressive (MC-AR) Model

Author

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  • Jitendra Kumar

    (Central University of Rajasthan)

  • Ashok Kumar

    (MIT Art, Design & Technology University)

  • Varun Agiwal

    (Indian Institute of Public Health)

Abstract

In present scenario, handling covariate/explanatory variable with the model is one of most important factor to study with the models. The main advantages of covariate are it’s dependency on past observations. So, study variable is modelled after explaining both on own past and past and future observation of covariates. Present paper deals estimation of parameters of autoregressive model with multiple covariates under Bayesian approach. A simulation and empirical study is performed to check the applicability of the model and recorded the better results.

Suggested Citation

  • Jitendra Kumar & Ashok Kumar & Varun Agiwal, 2024. "Bayesian Estimation of Multiple Covariate of Autoregressive (MC-AR) Model," Annals of Data Science, Springer, vol. 11(4), pages 1291-1301, August.
    • Handle: RePEc:spr:aodasc:v:11:y:2024:i:4:d:10.1007_s40745-023-00468-2
    DOI: 10.1007/s40745-023-00468-2
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    References listed on IDEAS

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    4. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, vol. 11(5), pages 1148-1171, October.
    5. Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 431-447.
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