Analysis of structural break in VAR (k) time series model: a bayesian approach

digital

Article

Magazine

STATISTICA & APPLICAZIONI

Section

Open Access

Title

Analysis of structural break in VAR (k) time series model: a bayesian approach

Authors

Umme Afifa, Varun Agiwal, Jitendra Kumar

Publisher

Vita e Pensiero

Format

Article |

Pdf

Online from

07-2022

Doi

10.26350/999999_000045

Issn

1824-6672 (print) | 2283-6659 (digital)

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Description Readers' comments

Vector autoregressive (VAR) model is the most popular modeling tool in macroeconomics. This study considers a Bayesian framework for VAR(k) model with a structural break in the mean. The structural change problem in VAR is of theoretical and practical importance in reference to the economic time series data. The main motivation of the study is to identify the impact of the break in the series and estimate the model parameters in the presence of the break considering appropriate prior assumptions. A simulation study and empirical analysis of the net asset value of national pension schemes for different fund managers have been carried out to justify the proposed mechanism.

keywords

Bayesian Inference, New Pension Schemes, Structural Change, Vector Autoregressive Model

Authors biography

Department of Community Medicine - Teerthanker Mahaveer Medical College - MORADABAD - Uttar Pradesh (India) (e-mail: umme.pfstat@curaj.ac.in).
Department of Statistics - Central University of Rajasthan - AJMER - Rajasthan (India) (e-mail: vjitendrav@gmail.com).
Indian Institute of Public Health - HYDERABAD - Telangana (India) (e-mail: varunagiwal.stats@gmail.com).

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