Bayesian analysis of panel data based on MCMC

This paper developed a Bayesian method to analyze panel data by using the MTAR model. The key feature of the proposed method is that it can perform posterior estimation and interesting multiple hypotheses testing simultaneously by using a simple MCMC algorithm. It takes the advantages of Bayesian multiple hypotheses testing while avoiding the computational difficulties in posterior inference. The illustrative example of test of optimal Debt/Total Assets ratio shows practical usefulness of the propose method.