Exact predictive densities for linear models with ARCH disturbances

DOI10.1016/0304-4076(89)90030-4zbMath0668.62080OpenAlexW2070928535MaRDI QIDQ1118320

John F. Geweke

Publication date: 1989

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(89)90030-4

zbMATH Keywords

time serieslinear modelsMonte Carlo integrationrisk aversionexact likelihood functionposterior odds ratiosantithetic acceleration of convergenceARCH linear modelcombination of non-nested modelsexact predictive densitiesimportance sampling distributionportfolio adjustments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• Antithetic acceleration of Monte Carlo integration in Bayesian inference
• Exact Inference for Continuous Time Markov Chain Models
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Forecasting and conditional projection using realistic prior distributions
• Bayesian Inference in Econometric Models Using Monte Carlo Integration

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