Nakatsuma, Teruo; Tsurumi, Hiroki - Department of Economics, Rutgers University-New Brunswick - 1996
We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...