Exact small-sample inference in stationary, fully regular, dynamic demand models

DOI10.1016/S0304-4076(99)00066-4zbMath0998.62098MaRDI QIDQ1580339

Philippe J. Deschamps

Publication date: 13 September 2000

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

zbMATH Keywords

Markov chain Monte Carlo; vector autoregressions; truncated normal; exact likelihood; Allais intensities

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C40: Numerical analysis or methods applied to Markov chains

91B42: Consumer behavior, demand theory

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Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models

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