Discriminating between autoregressive forms. A Monte Carlo comparison of Bayesian and ad hoc methods

DOI10.1016/0304-4076(75)90033-0zbMath0312.62047OpenAlexW1508580549MaRDI QIDQ1219656

David E. A. Giles

Publication date: 1975

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(75)90033-0

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Bayesian inference (62F15) Monte Carlo methods (65C05)

Related Items (3)

Preliminary-test estimation in a dynamic linear model ⋮ The mean squared errors of the maximum likelihood and natural-conjugate Bayes regression estimators ⋮ Pre-test estimation in regression under absolute error loss

Cites Work

• Some Small Sample Evidence on Tests of Significance in Simultaneous Equations Models
• Rational Distributed Lag Functions
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