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Bayesian inference for nonlinear structural time series models

Hall, Jamie; Pitt, Michael K.; Kohn, Robert - In: Journal of econometrics 179 (2014) 2, pp. 99-111

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Bayesian estimation of an autoregressive model using Markov chain Monte Carlo

Barnett, Glen - In: Journal of econometrics 74 (1996) 2, pp. 237-254

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A Bayesian approach to additive semiparametric regression

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A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models

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Nonparametric seemingly unrelated regression

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Nonparametric regression using Bayesian variable selection

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Testing for linearity in a semiparametric regression model

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Modeling Dependence Using Skew T Copulas : Bayesian Inference and Applications

Smith, Michael S. - 2010

We construct a copula from the skew t distribution of Sahu, Dey & Branco (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the...

Persistent link: https://www.econbiz.de/10013145057