Arbeitspapier
Bayesian Analysis of ARMA Models
Root cancellation in Auto Regressive Moving Average (ARMA) models leads tolocal non-identification of parameters. When we use diffuse or normal priorson the parameters of the ARMA model, posteriors in Bayesian analyzes show ana posteriori favor for this local non-identification. We show that the priorand posterior of the parameters of an ARMA model are the (unique)conditional density of a prior and posterior of the parameters of anencompassing AR model. We can therefore specify priors and posteriors on theparameters of the encompassing AR model and use the prior and posterior thatit implies on the parameters of the ARMA model, and vice versa. Theposteriors of the ARMA parameters that result from standard priors on theparameters of an encompassing AR model do not lead to an a posteriori favorof root cancellation. We develop simulators to generate parameters fromthese priors and posteriors. As a byproduct, Bayes factors can be computedto compare (non-nested) parsimonious ARMA models. The procedures are appliedto the (extended) Nelson-Plosser data. For approximately 50% of the seriesan ARMA model is favored above an AR model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 00-027/4
- Klassifikation
-
Wirtschaft
- Thema
-
Theorie
ARMA-Modell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kleibergen, Frank R.
Hoek, Henk
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kleibergen, Frank R.
- Hoek, Henk
- Tinbergen Institute
Entstanden
- 2000
Ähnliche Objekte (12)
Bayesian Analysis of ARMA Models using Noninformative Priors
A Bayesian Analysis of Unobserved Component Models using Ox
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model
Asymptotically Informative Prior for Bayesian Analysis
How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models
Bayesian Simultaneous Equations Analysis using Reduced Rank Structures
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Bayesian Analysis of ARMA Models using Noninformative Priors
A Bayesian Analysis of Unobserved Component Models using Ox
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model
Asymptotically Informative Prior for Bayesian Analysis
How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models
Bayesian Simultaneous Equations Analysis using Reduced Rank Structures
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Bayesian Analysis of ARMA Models using Noninformative Priors
A Bayesian Analysis of Unobserved Component Models using Ox
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model
Asymptotically Informative Prior for Bayesian Analysis
How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models
Bayesian Simultaneous Equations Analysis using Reduced Rank Structures
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations