Revisiting distributed lag models through a Bayesian perspective

DOI10.1002/ASMB.628MaRDI QIDQ3439754zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• An introduction to modern Bayesian econometrics.
• Bayesian forecasting and dynamic models.
• 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

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Uses Software

• CODA

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