Revisiting distributed lag models through a Bayesian perspective

DOI10.1002/ASMB.628zbMATH Open1112.62102OpenAlexW2035351190MaRDI QIDQ3439754FDOQ3439754

Authors: Romy R. Ravines, Helio S. Migon, Alexandra M. Schmidt 

Publication date: 29 May 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.628

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• scientific article; zbMATH DE number 3862302

zbMATH Keywords

Markov chain Monte Carlotransfer functionWinBUGSdynamic linear model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• Title not available (Why is that?)
• Bayesian forecasting and dynamic models.
• An introduction to modern Bayesian econometrics.
• Bayesian statistical modelling

Cited In (14)

• Comparison of classical and Bayesian approaches for intervention analysis
• Transmission of macroeconomic shocks to risk parameters: their uses in stress testing
• A review of Bayesian dynamic forecasting models: applications in marketing
• Vector distributed lag models with smoothness priors
• Lag weighted lasso for time series model
• Bayesian Distributed Lag Models: Estimating Effects of Particulate Matter Air Pollution on Daily Mortality
• Transfer functions in dynamic generalized linear models
• Bayesian estimation of time-varying parameters in dynamic state space models in the presence of discounted evolution variance
• Comparisons of the alternative biased estimators for the distributed lag models
• Distributed Lags, Aggregation and Compounding: Some Econometric Implications
• On Some Properties of Composite Distributed Lag Models
• Transfer of macroeconomic shocks in stress tests modeling
• Restricted estimation of distributed lag model from a Bayesian point of view
• A Bayesian estimation of lag lengths in distributed lag models

Uses Software

• CODA

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