Bayesian testing of restrictions on vector autoregressive models

DOI10.1016/J.JSPI.2012.04.019MaRDI QIDQ453023zbMATH OpenOpenAlexFDO

Authors Dongchu Sun, Shawn Ni

Publication date 18 September 2012

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2012.04.019

zbMATH Keywords

MCMCBayes factorBayesian VAR

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Bayesian analysis of vector-autoregressive models with noninformative priors.
• Bayesian stochastic search for VAR model restrictions
• A Bayesian analysis of normalized VAR models
• Sign restrictions, structural vector autoregressions, and useful prior information
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models

Cites work

• scientific article; zbMATH DE number 1631958 (Why is no real title available?)
• scientific article; zbMATH DE number 509150 (Why is no real title available?)
• scientific article; zbMATH DE number 597911 (Why is no real title available?)
• scientific article; zbMATH DE number 1122623 (Why is no real title available?)
• scientific article; zbMATH DE number 947416 (Why is no real title available?)
• scientific article; zbMATH DE number 795289 (Why is no real title available?)
• A Bivariate Bayes Method for Improving the Estimates of Mortality Rates With a Twofold Conditional Autoregressive Model
• A Gibbs sampler for structural vector autoregressions
• A comparison of GCV and GML for choosing the smoothing parameter in the generalized spline smoothing problem
• Bayes Factors
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Bayesian analysis of covariance matrices and dynamic models for longitudinal data
• Bayesian analysis of vector-autoregressive models with noninformative priors.
• Bayesian stochastic search for VAR model restrictions
• Best equivariant estimators of a Cholesky decomposition
• Dynamic conditionally linear mixed models for longitudinal data
• Fully Bayesian spline smoothing and intrinsic autoregressive priors
• Hierarchical Bayes GLMs for the analysis of spatial data: An application to disease mapping
• Identification of linear stochastic models with covariance restrictions
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Marginal Likelihood From the Metropolis–Hastings Output
• Marginal Likelihood from the Gibbs Output
• Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
• On the change of support problem for spatio-temporal data
• Posterior distribution of hierarchical models using CAR(1) distributions

Cited in

(4)

• Bayesian analysis of vector-autoregressive models with noninformative priors.
• Bayesian stochastic search for VAR model restrictions
• A Bayesian analysis of normalized VAR models
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models

Describes a project that uses

Uses Software

• tsbridge

This page was built for publication: Bayesian testing of restrictions on vector autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q453023)