Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
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Publication:4530911
DOI10.2307/2998562zbMath1056.62510OpenAlexW2090190819MaRDI QIDQ4530911
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2998562
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15)
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