Controlling spurious drift

DOI10.1016/J.ECONLET.2003.12.013zbMath1254.91637OpenAlexW1988677818MaRDI QIDQ1927533

Ronald Bewley, Joanna Haddock

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.12.013

zbMATH Keywords

forecastingBayesian varsvector equilibrium correction models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bayesian inference (62F15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Forecast accuracy, coefficient bias and Bayesian vector autoregressions
• Forecasting and conditional projection using realistic prior distributions

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