2020
DOI: 10.21307/stattrans-2020-059
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A Bayesian analysis of complete multiple breaks in a panel autoregressive (CMB-PAR(1)) time series model

Abstract: Most economic time series, such as GDP, real exchange rate and banking series are irregular by nature as they may be affected by a variety of discrepancies, including political changes, policy reforms, import-export market instability, etc. When such changes entail serious consequences for time series modelling, various researchers manage this problem by applying a structural break. Thus, the aim of this paper is to develop a generalised structural break time series model. The paper discusses a panel autoregre… Show more

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