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Parametric covariance matrix modeling in Bayesian panel regression

Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005

The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...

Persistent link: https://www.econbiz.de/10002595455

On seasonal error correction when the processes include different numbers of unit roots

Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001

We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of … forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration … forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …

Persistent link: https://www.econbiz.de/10001600047

Error correction in DHSY

Eliasson, Ann-Charlotte (contributor); … - 2002 - [Elektronische Ressource]

In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

Persistent link: https://www.econbiz.de/10001714625