A frequentist approach to Bayesian asymptotics

DOI10.1016/j.jeconom.2018.06.006zbMath1452.62217OpenAlexW2347497743WikidataQ129646995 ScholiaQ129646995MaRDI QIDQ1792448

Peter C. B. Phillips, Tingting Cheng, J. T. Gao

Publication date: 12 October 2018

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

Full work available at URL: https://eprints.soton.ac.uk/422647/1/phillips.pdf

zbMATH Keywords

ergodic theoremconditional mean estimationBayesian averagesummary statistic

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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Cites Work

• On the Markov chain central limit theorem
• An MCMC approach to classical estimation.
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Econometric Model Determination
• An Asymtotic Theory of Bayesian Inference for Time Series
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