In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically equivalent to the Bayes factor and...

An automatic monitoring and intervention algorithm that permits the supervision of very general aspects in an univariate linear gaussian state space model is proposed. The algorithm makes use of a model comparison and selection approach within a Bayesian framework. In addition, this algorithm...