A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
From MaRDI portal
Publication:1362024
DOI10.1016/0304-4076(95)01781-XzbMath0877.62105MaRDI QIDQ1362024
Thomas S. Shively, Robert Kohn
Publication date: 15 December 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
Related Items
Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*, 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, BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS, Testing for integration using evolving trend and seasonals models: A Bayesian approach.
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Bayesian forecasting and dynamic models
- Inference from iterative simulation using multiple sequences
- FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
- Testing for deterministic trend and seasonal components in time series models
- 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