Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Anders Warne, Günter Coenen and Kai Christoffel
| Year of publication: |
January/February 2017
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| Authors: | Warne, Anders ; Coenen, Günter ; Christoffel, Kai |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 32.2017, 1, p. 103-119
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| Subject: | Bayesian inference | density forecasting | Kalman filter | missing data | Monte Carlo integration | predictive likelihood | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | VAR-Modell | VAR model | Bayes-Statistik | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Dynamisches Gleichgewicht | Dynamic equilibrium | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2514 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011688267