Discriminating between autoregressive forms. A Monte Carlo comparison of Bayesian and ad hoc methods

DOI10.1016/0304-4076(75)90033-0MaRDI QIDQ1219656zbMATH OpenOpenAlexFDO

Authors David E. Giles

Publication date 1975

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

Full work available at URL https://doi.org/10.1016/0304-4076(75)90033-0

Mathematics Subject Classification ID

Bayesian inference (62F15) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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• Rational Distributed Lag Functions
• Some Small Sample Evidence on Tests of Significance in Simultaneous Equations Models

Cited in

(3)

• Pre-test estimation in regression under absolute error loss
• The mean squared errors of the maximum likelihood and natural-conjugate Bayes regression estimators
• Preliminary-test estimation in a dynamic linear model

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