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Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process

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  • Kim, Jae-Young

Abstract

Asymptotic normality of the Bayesian posterior is a well-known result for stationary dynamic models or nondynamic models. This paper extends the analysis to a time series model with a possible nonstationary process. We spell out conditions under which asymptotic normality of the posterior is obtained even if the true data-generation process is a nonstationary process.

Suggested Citation

  • Kim, Jae-Young, 1994. "Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 764-773, August.
  • Handle: RePEc:cup:etheor:v:10:y:1994:i:3-4:p:764-773_00
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    1. repec:kap:jrefec:v:55:y:2017:i:4:d:10.1007_s11146-016-9565-0 is not listed on IDEAS
    2. António Afonso, 2011. "The Macroeconomic Effects of Fiscal Policy," Post-Print hal-00719484, HAL.
    3. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
    4. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
    5. Phillips, Peter C B & Xiao, Zhijie, 1998. " A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-469, December.
    6. Lorenzo Bretscher & Christian Julliard & Carlo Rosa, 2016. "Human Capital and International Portfolio Diversification: A Reappraisal," NBER Chapters,in: NBER International Seminar on Macroeconomics 2015 National Bureau of Economic Research, Inc.
    7. Yong Li & Tao Zeng & Jun Yu, 2012. "Robust Deviance Information Criterion for Latent Variable Models," Working Papers 30-2012, Singapore Management University, School of Economics.
    8. Kwan, Yum K., 1998. "Asymptotic Bayesian analysis based on a limited information estimator," Journal of Econometrics, Elsevier, vol. 88(1), pages 99-121, November.
    9. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
    10. Werner Ploberger & Peter C. B. Phillips, 2003. "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, vol. 71(2), pages 627-673, March.
    11. António Afonso & Ricardo M. Sousa, 2012. "The macroeconomic effects of fiscal policy," Applied Economics, Taylor & Francis Journals, vol. 44(34), pages 4439-4454, December.
    12. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    13. Julliard, Christian, 2002. "The international diversification puzzle is not worse than you think," LSE Research Online Documents on Economics 4814, London School of Economics and Political Science, LSE Library.
    14. Li, Yong & Zeng, Tao & Yu, Jun, 2014. "A new approach to Bayesian hypothesis testing," Journal of Econometrics, Elsevier, vol. 178(P3), pages 602-612.

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