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

dynamic linear modelMarkov chain Monte Carlotransfer functionWinBUGS

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

• An introduction to modern Bayesian econometrics.
• Bayesian forecasting and dynamic models.
• Bayesian statistical modelling
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Cited in

(15)

• Vector distributed lag models with smoothness priors
• Transfer of macroeconomic shocks in stress tests modeling
• Lag weighted lasso for time series model
• Distributed Lags, Aggregation and Compounding: Some Econometric Implications
• Bayesian estimation of time-varying parameters in dynamic state space models in the presence of discounted evolution variance
• Bayesian Distributed Lag Models: Estimating Effects of Particulate Matter Air Pollution on Daily Mortality
• On Some Properties of Composite Distributed Lag Models
• Transfer functions in dynamic generalized linear models
• A Bayesian estimation of lag lengths in distributed lag models
• Comparisons of the alternative biased estimators for the distributed lag models
• Restricted estimation of distributed lag model from a Bayesian point of view
• 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
• A joint temporal model for hospitalizations and ICU admissions due to COVID-19 in Quebec

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• CODA

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