Bayesian Unit Root Test for Chinese Residents Consumption Models

摘要：

Economic time series may be generated by a vector autoregressive model, and there may be a unit root in the process. It is well known that the classical methods for unit roots test require large samples. This paper deals with the unit roots on the VAR (p) model from a Bayesian perspective, including the parameters Bayesian statistical inference on designed prior distribution, and devises MCMC computational procedure. With the MCMC simulation plus Savage-Dickey density ratio method, stationarity analysis of Chinese rural residents consumption and urban residents consumption are conducted, respectively. The results indicate that the Bayesian method is an effective tool to analyze economic time series.

关键词： VAR (p) Model Unit Roots Bayesian Approach Simulation Markov Chain Monte Carlo Bayes Factor

作者: LI Sufang ZHU Huiming

作者单位: College of Business Administration, Hunan University, Changsha, P.R.China, 410082

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-5

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）