Bayes inference in regression models with ARMA\((p,q)\) errors

DOI10.1016/0304-4076(94)90063-9zbMath0807.62065OpenAlexW2125996678MaRDI QIDQ1341195

Publication date: 1 March 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90063-9

zbMATH Keywords

Metropolis-Hastings algorithms Gibbs sampling likelihood function data augmentation diffuse priors frequentist estimation ARMA time series ARMA(p,q) regression error models full conditional distributions invertible MA(q) models Markov chain sampler recursive transformations stationary AR(p)

Mathematics Subject Classification ID

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

Related Items

Shape-constrained semiparametric additive stochastic volatility models, Bayesian quantile semiparametric mixed-effects double regression models, Comparison of MCMC algorithms for the estimation of Tobit model with non-normal error: the case of asymmetric Laplace distribution, Analysis of high dimensional multivariate stochastic volatility models, Analysis of treatment response data from eligibility designs, Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach, Tailored randomized block MCMC methods with application to DSGE models, Statistical Inference in a Stochastic Epidemic SEIR Model with Control Intervention: Ebola as a Case Study, Steady-state Gibbs sampler estimation for lung cancer data, Steady-state ranked Gibbs sampler, Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models, Bayesian analysis of long memory and persistence using ARFIMA models, Bayesian analysis of compound loss distributions, Bayesian analysis of seasonal unit roots and seasonal mean shifts, Firm dynamics and the origins of aggregate fluctuations, Bayesian inference for double SARMA models, Bayesian estimation for time-series regressions improved with exact likelihoods, DSGE Models with Student-tErrors, The marginal likelihood of dynamic mixture models, Bayesian estimation of generalized hyperbolic skewed student GARCH models, TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation, Bayesian modeling and forecasting of vector autoregressive moving average processes, Semiparametric Bayesian Markov analysis of personalized benefit-risk assessment, System identification using autoregressive Bayesian neural networks with nonparametric noise models, An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes, Shrinkage estimation for linear regression with ARMA errors, Testing for measurement error in regression with autoregressive innovations, Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications, Efficient Bayesian inference for stochastic time-varying copula models, Prediction in several conventional contexts, Stochastic volatility with leverage: fast and efficient likelihood inference, Modeling and calculating the effect of treatment at baseline from panel outcomes, Moving average stochastic volatility models with application to inflation forecast, Bayesian modeling of autoregressive partial linear models with scale mixture of normal errors, Forecasting electricity demand in Japan: a Bayesian spatial autoregressive ARMA approach, Asymptotic distribution of least square estimators for linear models with dependent errors, Bayesian inference on structural impulse response functions, Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach, Bayesian Enhancement of Speech and Audio Signals which can be Modelled as ARMA Processes, Adaptive Proposal Construction for Reversible Jump MCMC, On time series with randomized unit root and randomized seasonal unit root, On goodness of fit for time series regression models, Expert information and nonparametric Bayesian inference of rare events, Testing for international business cycles: a multilevel factor model with stochastic factor selection, A Bayesian approach to term structure modeling using heavy‐tailed distributions, Improving MCMC, using efficient importance sampling, Additive cubic spline regression with Dirichlet process mixture errors, A hierarchical Bayesian regression model for the uncertain functional constraint using screened scale mixtures of Gaussian distributions, On the Use of Local Optimizations within Metropolis–Hastings Updates, On sampling the degree-of-freedom of Student's-\(t\) disturbances, The use of Bayes factors to compare interest rate term structure models, Bayesian analysis of a linear mixed model with AR(p) errors via MCMC, An Interest-rate Model Analysis Based on Data Augmentation Bayesian Forecasting, Indeterminacy, change points and the price puzzle in an estimated DSGE model, Bayesian analysis of Box--Cox transformed linear mixed models with ARMA(\(p\),\(q\)) dependence, A Bayesian framework for estimating vaccine efficacy per infectious contact, Bayesian estimation of switching ARMA models, HmmSeq: a hidden Markov model for detecting differentially expressed genes from RNA-seq data, Heteroscedastic Weibull-Normal Mixture Models: A Bayesian Approach, Bayesian Unit Root Testing in Unobserved-ARCH Models, Typical decision problems in the first-order autoregressive time series, A null space method for over-complete blind source separation, Bayesian Inference for ARFIMA Models, Bayesian analysis of stochastic volatility models with mixture-of-normal distributions, Bayesian identification of stochastic linear systems with observations at multiple scales, Bayesian estimation of an autoregressive model using Markov chain Monte Carlo, Exact small-sample inference in stationary, fully regular, dynamic demand models, Likelihood-based Inference in S-distributions, Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances, Business cycle durations, Testing for integration using evolving trend and seasonals models: A Bayesian approach., Bayesian methods for change-point detection in long-range dependent processes, Markov chain Monte Carlo methods for stochastic volatility models.

Uses Software

AS 154

Cites Work