Bayesian long-run prediction in time series models

DOI10.1016/0304-4076(94)01662-JzbMath0834.62091MaRDI QIDQ1899241

Jacek Osiewalski, Mark F. J. Steel, Gary Koop

Publication date: 9 April 1996

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

zbMATH Keywords

unit rootparameter uncertaintyJeffreys priortime series modelsBayesian long-run predictionforecasting horizonposterior inferencespredictive momentsprior structurestrend-stationarity

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15)

Related Items (5)

A review of bank efficiency and productivity ⋮ Testing for unit roots in a Bayesian framework ⋮ Impulse response analysis in nonlinear multivariate models ⋮ Bayesian and DEA efficiency modelling: an application to hospital foodservice operations ⋮ Forecasting seasonal time series data: a Bayesian model averaging approach

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• Properties of Predictors for Autoregressive Time Series
• The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
• Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods

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