Lanne, Markku; Luoma, Arto; Luoto, Jani - Volkswirtschaftliche Fakultät, … - 2009
In this paper, we propose a Bayesian estimation and prediction procedure for noncausal autoregressive (AR) models. Specifically, we derive the joint posterior density of the past and future errors and the parameters, which gives posterior predictive densities as a byproduct. We show that the...
