A Bayesian Estimation and Testing of STUR Models With Application to Polish Financial Time-series

• Autorzy: Jacek Kwiatkowski
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to present with the Bayesian estimation and testing of STUR processes, where the random parameter follows first-order stationary autoregressive process. Probably the first attempt to employ the Bayesian inference was presented in Jones and Marriott (1999). In their paper they have used Granger and Swanson (1997) model to derive posterior marginals and summary statistics. This paper is concerned with the STUR model introduced by Leybourne, McCabe and Tremayne (1996), which is computationally less demanding, and easy to implement. The marginal posteriors of parameters and summary statistics can be obtained by Gibbs sampler.(fragment of text)

Słowa kluczowe

PL

Modele bayesowskie; Estymacja bayesowska; Modele ekonometryczne; Szeregi czasowe

EN

Bayesian models; Bayesian estimation; Econometric models; Time-series

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 151--160

Twórcy

autor

Jacek Kwiatkowski

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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