IDEAS home Printed from https://ideas.repec.org/a/eei/journl/v61y2018i2p18-46.html
   My bibliography  Save this article

Testing of Parameter's Instability in a Balanced Panel: An Application to Real Effective Exchange Rate for SAARC Countries

Author

Listed:
  • Varun Agiwal
  • Jitendra Kumar
  • Sumit Kumar Sharma

Abstract

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and autoregressive coefficient. This model is extension of univariate model proposed by Meligkotsiduo et al. (2004) and review of existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al. (2011), Wachter and Tzavalis (2012). Paper dealt the identification of structural break by comparing the posterior probability of all possible models like break on all three parameters, only two parameters, one parameter and there is no break. A simulation study is carried out to validate the derived theorems. An Empirical analysis on Real Exchange Rate of India and its neighboring countries (SAARC countries including China) are also carried out. The present study is correctly identifying the common break on 1991 which happened due to second gulf war and international debt crisis.

Suggested Citation

  • Varun Agiwal & Jitendra Kumar & Sumit Kumar Sharma, 2018. "Testing of Parameter's Instability in a Balanced Panel: An Application to Real Effective Exchange Rate for SAARC Countries," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 61(2), pages 18-46.
    • Handle: RePEc:eei:journl:v:61:y:2018:i:2:p:18-46
    as

    Download full text from publisher

    File URL: https://ideas.repec.org/a/eei/journl/v61y2018i2p18-46.html
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    More about this item

    Keywords

    Panel autoregressive model; Structural break; Prior and Posterior probability.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eei:journl:v:61:y:2018:i:2:p:18-46. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Julia van Hove (email available below). General contact details of provider: https://edirc.repec.org/data/eeriibe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.