A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models

DOI10.1016/0304-4076(95)01781-XzbMATH Open0877.62105MaRDI QIDQ1362024FDOQ1362024

Authors: Thomas S. Shively, Robert Kohn 

Publication date: 15 December 1997

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

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zbMATH Keywords

Kalman filterstate space modelposterior probabilityBayesian model selection procedure

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Inference from iterative simulation using multiple sequences
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• Bayesian forecasting and dynamic models
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• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
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• AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
• Two Methods for Examining the Stability of Regression Coefficients
• An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model
• Testing for deterministic trend and seasonal components in time series models
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS

Cited In (7)

• Semiparametric Bayesian inference in smooth coefficient models
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Dynamic efficiency in the east European emerging markets
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
• BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
• Stochastic and deterministic trend in state space models

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