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

DOI10.1016/0304-4076(95)01781-XMaRDI QIDQ1362024zbMATH OpenFDO

Authors Thomas S. Shively, Robert Kohn

Publication date 15 December 1997

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

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)

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Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• scientific article; zbMATH DE number 578421 (Why is no real title available?)
• scientific article; zbMATH DE number 795289 (Why is no real title available?)
• AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
• An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Bayesian forecasting and dynamic models
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• Inference from iterative simulation using multiple sequences
• Testing for deterministic trend and seasonal components in time series models
• Two Methods for Examining the Stability of Regression Coefficients

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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