Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models

DOI10.1081/STA-200037921MaRDI QIDQ5290376zbMATH OpenFDO

Authors Laura Muñoz, Pilar Olave, Manuel Salvador

Publication date 28 April 2006

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

Full work available at URL https://doi.org/10.1081/STA-200037921

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15)

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Cites work

• Adjusting forecast intervals in arch‐m models
• An Asymtotic Theory of Bayesian Inference for Time Series
• Bayesian model selection and prediction with empirical applications
• Econometric Model Determination
• Estimating the dimension of a model
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• Information criteria for selecting possibly misspecified parametric models
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• On predictive least squares principles
• Prediction in dynamic models with time-dependent conditional variances
• Stochastic Limit Theory

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