Mind your \(p\)s and \(q\)s! Improving ARMA forecasts with RBC priors

DOI10.1016/J.ECONLET.2007.01.015zbMath1255.91362OpenAlexW1984400385MaRDI QIDQ1934119

Troy Matheson, Kirdan Lees

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.01.015

zbMATH Keywords

model selectionforecastingARMARBC

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• A Bayesian approach to dynamic macroeconomics

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