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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; van Dijk, Herman K. - 1999
In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...
Persistent link: https://www.econbiz.de/10010324712
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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; van Dijk, Herman K.; Hoek, Henk - 1997
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10010324436
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Theorie, Implementation und Evaluation bayesianischer Strukturkomponentenmodelle
Kalinowski, Christoph - 2000
Persistent link: https://www.econbiz.de/10001511157
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Bayesian exponential smoothing
Forbes, Catherine Scipione; Snyder, Ralph D.; Shami, … - 2000
Persistent link: https://www.econbiz.de/10001506975
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Bayesian statistical computations of nonlinear financial time series models : a survey with illustrations
Tsurumi, Hiroki - In: Asia-Pacific financial markets 7 (2000) 3, pp. 209-237
Persistent link: https://www.econbiz.de/10001508541
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Bayesian non-linear modellings of the short term US interest rate : the help of non-parametric tools
Lubrano, Michel - 2000
Persistent link: https://www.econbiz.de/10001529419
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Bayesian analysis of nonlinear time series models with a threshold
Lubrano, Michel - In: Nonlinear econometric modeling in time series : …, (pp. 79-118). 2000
Persistent link: https://www.econbiz.de/10001532222
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Subset selection of autoregressive time series models
Chen, Cathy W. S. - In: Journal of forecasting 18 (1999) 7, pp. 505-516
Persistent link: https://www.econbiz.de/10001437775
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A comparison of approximate Bayesian forecasting methods for non-Gaussian times series
Settimi, Raffaella; Smith, Jim Q. - In: Journal of forecasting 19 (2000) 2, pp. 135-148
Persistent link: https://www.econbiz.de/10001464879
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A Bayesian time series model of multiple structural changes in level, trend, and variance
Wang, Jiahui; Zivot, Eric - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 374-386
Persistent link: https://www.econbiz.de/10001494009