Stochastic model specification search for Gaussian and partial non-Gaussian state space models

DOI10.1016/j.jeconom.2009.07.003zbMath1431.62373MaRDI QIDQ2630151

Helga Wagner, Sylvia Frühwirth-Schnatter

Publication date: 25 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.07.003

zbMATH Keywords

Markov chain Monte Carlo; variable selection; Bayesian econometrics; auxiliary mixture sampling; non-centered parameterization

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

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

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

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