Characterising economic trends by Bayesian stochastic model specification search
type: Item
instance of: scholarly article
title: Characterising economic trends by Bayesian stochastic model specification search
zbMATH Open document ID: 1471.62078
published in: Computational Statistics and Data Analysis
publication date: 2018-11-08T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6975394
zbMATH Keywords: Bayesian model selection
zbMATH Keywords: stationarity
zbMATH Keywords: unit roots
zbMATH Keywords: stochastic trends
zbMATH Keywords: variable selection
author: Stefano Grassi
author: Tommaso Proietti
MaRDI profile type: Publication
full work available at URL: j.csda.2013.02.024
OpenAlex ID: W1991583379
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: A simple and efficient simulation smoother for state space time series analysis
cites work: Efficient Tests for an Autoregressive Unit Root
cites work: Covariate unit root tests with good size and power
cites work: Q4322333
cites work: Q3498086
cites work: Stochastic model specification search for Gaussian and partial non-Gaussian state space models
cites work: Q5480569
cites work: Efficient parametrisations for normal linear mixed models
cites work: Q4344410
cites work: Contemporary Bayesian Econometrics and Statistics
cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
cites work: Testing for integration using evolving trend and seasonals models: A Bayesian approach.
cites work: 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?
cites work: LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
cites work: Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
cites work: The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
cites work: Testing for a unit root in time series regression
cites work: Bayesian stochastic model specification search for seasonal and calendar effects
cites work: A Beveridge-Nelson smoother.
cites work: Q4828566
cites work: Bayesian skepticism on unit root econometrics
cites work: Understanding Unit Rooters: A Helicopter Tour
cites work: Nonparametric regression using Bayesian variable selection
cites work: Parameterisation and efficient MCMC estimation of non-Gaussian state space models
cites work: Bayesian forecasting and dynamic models.
DOI: 10.1016/J.CSDA.2013.02.024
description: scientific article; zbMATH DE number 6975394