Comparison of forecasts for arma models between a random coefficient approach and a bayesian approach

DOI10.1080/03610929508831491zbMATH Open0825.62287OpenAlexW2022560003MaRDI QIDQ4843897FDOQ4843897

Authors: S.-I. Liu 

Publication date: 17 August 1995

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831491

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zbMATH Keywords

forecastBayesian analysisARMA modelrandom coefficient modelposterior densityleast squares estimates

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (3)

• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• Mind your \(p\)s and \(q\)s! Improving ARMA forecasts with RBC priors

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