Bayesian Unit Root Test for Panel Data Models

Implements the Bayesian unit root test for Panel Autoregressive (PAR) time series models developed by Kumar et al. (2016) < https://hdl.handle.net/10419/179393>. The package evaluates the unit root hypothesis (difference stationarity versus trend stationarity) in panel data using the Posterior Odds Ratio (POR). It accommodates PAR models with linear time trend as well as linear time trend with augmentation terms of arbitrary order. Full posterior probabilities, Bayes factors, and individual panel estimates are computed automatically.


Reference manual

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install.packages("BayesPanelUR")

0.1.0 by Shikhar Tyagi, 2 months ago


Browse source code at https://github.com/cran/BayesPanelUR


Authors: Shikhar Tyagi [aut, cre] (ORCID: , Arvind Pandey [aut] , Bhupendra Singh [aut] , Vrijesh Tripathi [aut]


Documentation:   PDF Manual  


GPL (>= 3) license


Imports stats, graphics

Suggests testthat, knitr, rmarkdown


See at CRAN