Bayesian Comparison of ARIMA and Stationary ARMA Models

DOI10.1111/j.1751-5823.1998.tb00376.xzbMath0911.62082OpenAlexW2067711363MaRDI QIDQ4231018

Paul Newbold, J. M. Marriott

Publication date: 10 May 1999

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1751-5823.1998.tb00376.x

zbMATH Keywords

random walkmodel comparisonposterior oddstime series modelsunit autoregressive roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (3)

A ROBUST BAYESIAN APPROACH FOR UNIT ROOT TESTING ⋮ Bayesian modeling of autoregressive partial linear models with scale mixture of normal errors ⋮ The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective

Cites Work

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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Fully Bayesian analysis of ARMA time series models
• Testing for unit roots in a Bayesian framework
• Understanding Unit Rooters: A Helicopter Tour
• The exact likelihood function for a mixed autoregressive-moving average process
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• An Asymtotic Theory of Bayesian Inference for Time Series

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