Predictive likelihood for Bayesian model selection and averaging
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- Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
More about this item
KeywordsModel averaging Model selection Finance Predictive likelihood;
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