Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models

DOI10.1081/STA-200037921zbMath1124.62304MaRDI QIDQ5290376

Pilar Olave, Manuel Salvador, Laura Muñoz

Publication date: 28 April 2006

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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• Stochastic Limit Theory
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Adjusting forecast intervals in arch‐m models
• Econometric Model Determination
• An Asymtotic Theory of Bayesian Inference for Time Series

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