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Hyperparameter estimation in forecast models

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  • Lopes, Hedibert Freitas
  • Moreira, Ajax R. Bello
  • Schmidt, Alexandra Mello

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  • Lopes, Hedibert Freitas & Moreira, Ajax R. Bello & Schmidt, Alexandra Mello, 1999. "Hyperparameter estimation in forecast models," Computational Statistics & Data Analysis, Elsevier, vol. 29(4), pages 387-410, February.
    • Handle: RePEc:eee:csdana:v:29:y:1999:i:4:p:387-410
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    References listed on IDEAS

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    1. John Geweke, 1994. "Bayesian comparison of econometric models," Working Papers 532, Federal Reserve Bank of Minneapolis.
    2. Koop, G, 1992. "Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 395-411, Oct.-Dec..
    3. van Dijk, H. K. & Kloek, T., 1980. "Further experience in Bayesian analysis using Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 14(3), pages 307-328, December.
    4. Lima, Elcyon Caiado Rocha & Migon, Hélio S. & Lopes, Hedibert Freitas, 1993. "Efeitos dinâmicos dos choques de oferta e demanda agregadas sobre o nível de atividade econômica do Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 47(2), April.
    5. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    6. Michael K Pitt & Neil Shephard, "undated". "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
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    Citations

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    Cited by:

    1. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2020. "Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 124-136, January.
    2. Thiago R. Santos & Glaura C. Franco & Dani Gamerman, 2010. "Comparison of Classical and Bayesian Approaches for Intervention Analysis," International Statistical Review, International Statistical Institute, vol. 78(2), pages 218-239, August.
    3. Lusompa, Amaze, 2019. "Local Projections, Autocorrelation, and Efficiency," MPRA Paper 99856, University Library of Munich, Germany, revised 11 Apr 2020.
    4. Huerta, Gabriel & Lopes, Hedibert Freitas, 2000. "Bayesian forecasting and inference in latent structure for the Brazilian Industrial Production Index," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 20(1), May.
    5. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015. "Prior Selection for Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
    6. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    7. Lee, Namgil & Choi, Hyemi & Kim, Sung-Ho, 2016. "Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 250-276.
    8. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
    9. Ajax R. B. Moreira & Dani Gamerman, 2015. "Bayesian Analysis of Econometric Time Series Models Using Hybrid Integration Rules," Discussion Papers 0105, Instituto de Pesquisa Econômica Aplicada - IPEA.
    10. Alexandra Mello Schmidt & Dani Gamerman & Ajax Moreira, 1999. "An adaptive resampling scheme for cycle estimation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(5), pages 619-641.

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