BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL

DOI10.1081/ETC-100103824zbMath1026.62025OpenAlexW1969575622MaRDI QIDQ4432539

Gael M. Martin

Publication date: 27 October 2003

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-100103824

zbMATH Keywords

Markov chain Monte Carlofractional cointegrationJeffreys priorARFIMA processes

Mathematics Subject Classification ID

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

Related Items

Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox, Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model

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