A Bayesian estimation of lag lengths in distributed lag models

DOI10.1080/00949655.2012.712972zbMath1453.62629OpenAlexW2014410009MaRDI QIDQ5219242

José Galvão Leite, Rubiane M. Pires, Camila Pedrozo Rodrigues, Carlos Alberto Ribeiro Diniz

Publication date: 9 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2012.712972

zbMATH Keywords

Monte Carlo simulationfractional Bayes factordistributed laglag lengths determination

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Uses Software

• meboot

Cites Work

• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
• Regression and time series model selection in small samples
• Bootstrap Methods for Time Series
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A Bayesian estimation of lag lengths in distributed lag models