Bayesian analysis of vector-autoregressive models with noninformative priors.

DOI10.1016/S0378-3758(03)00116-2zbMath1036.62029MaRDI QIDQ1427516

Shawn Ni, Dongchu Sun

Publication date: 14 March 2004

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte CarloconsumptionLoss functionJeffreys priorMulti-goods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (8)

Intrinsic Bayesian estimation of linear time series models ⋮ A Bayesian analysis of normalized VAR models ⋮ On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations ⋮ Bayesian testing of restrictions on vector autoregressive models ⋮ Bayesian modeling of several covariance matrices and some results on propriety of the posterior for linear regression with correlated and/or heterogeneous errors ⋮ Interpreting self-organizing maps through space-time data models ⋮ Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models ⋮ Periodic autoregressive models with closed skew-normal innovations

Cites Work

• Estimation of a covariance matrix using the reference prior
• Generation of Random Orthogonal Matrices
• The Selection of Prior Distributions by Formal Rules
• Estimating a Product of Means: Bayesian Analysis with Reference Priors
• Bayesian Estimation in Multivariate Analysis
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