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Bayesian estimation of an autoregressive model using Markov chain Monte Carlo

Barnett, Glen; Kohn, Robert; Sheather, Simon J. - 1993

Persistent link: https://www.econbiz.de/10000861202

Matrix Autoregressive Models : Generalization and Bayesian Estimation

Celani, Alessandro; Pagnottoni, Paolo - 2022

The issue of modelling observations generated in matrix form over time is key in economics, finance and many domains of application. While it is common to model vectors of observations through standard vector time series analysis, original matrix-valued data often reflect different types of...

Persistent link: https://www.econbiz.de/10014237100

Bayesian analysis for functional coefficient conditional autoregressive range model with applications

Wang, Bin; Qian, Yixin; Yu, Enping - In: Economic modelling 144 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015193856

Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R

Chen, Cathy W. S. - 2009

BAYSTAR provides Bayesian MCMC methods for iteratively sampling to provide parameter estimates and inference for the two-regime SETAR model. A convenient user interface for importing data from a file or specifying true values for simulated data is easy to apply for analysis. Parameter inferences...

Persistent link: https://www.econbiz.de/10013159447

Bayesian estimation and model selection for spatial Durbin error model with finite distributed lags

Han, Xiaoyi; Lee, Lung-fei - In: Regional science & urban economics 43 (2013) 5, pp. 816-837

Persistent link: https://www.econbiz.de/10010237462

Space-varying coefficient simultaneous autoregressive models for the structural analysis of residential water demand

Miyawaki, Koji - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 4, pp. 498-518

Persistent link: https://www.econbiz.de/10010248329

A flexible approach to parametric inference in nonlinear and time varying time series models

Koop, Gary; Potter, Simon M. - In: Journal of econometrics 159 (2010) 1, pp. 134-150

Persistent link: https://www.econbiz.de/10008839935

Bayesian analysis of spatial panel autoregressive models with time-varying endogenous spatial weight matrices, common factors, and random coefficients

Han, Xiaoyi; Lee, Lung-fei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 642-660

Persistent link: https://www.econbiz.de/10011692445

Likelihood inference in an autoregression with fixed effects

Dhaene, Geert; Jochmans, Koen - In: Econometric theory 32 (2016) 5, pp. 1178-1215

Persistent link: https://www.econbiz.de/10011661738

Estimation and model selection of higher-order spatial autoregressive model : an efficient Bayesian approach

Han, Xiaoyi; Hsieh, Chih-sheng; Lee, Lung-fei - In: Regional science & urban economics 63 (2017), pp. 97-120

Persistent link: https://www.econbiz.de/10011792584