A frequentist approach to Bayesian asymptotics

DOI10.1016/j.jeconom.2018.06.006zbMath1452.62217MaRDI QIDQ1792448

Peter C. B. Phillips, Tingting Cheng, J. T. Gao

Publication date: 12 October 2018

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

Full work available at URL: https://eprints.soton.ac.uk/422647/1/phillips.pdf

zbMATH Keywords

ergodic theorem; conditional mean estimation; Bayesian average; summary statistic

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

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

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

Related Items

LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS, Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya, A Bayesian robust chi-squared test for testing simple hypotheses

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the Markov chain central limit theorem
• An MCMC approach to classical estimation.
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Econometric Model Determination
• An Asymtotic Theory of Bayesian Inference for Time Series