A Frequency Approach to Bayesian Asymptotics
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References listed on IDEAS
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Jae-Young Kim, 1998. "Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models," Econometrica, Econometric Society, vol. 66(2), pages 359-380, March.
- Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March.
More about this item
KeywordsBayesian average; conditional mean estimation; ergodic theorem; summary statistic;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-04-04 (All new papers)
- NEP-ECM-2016-04-04 (Econometrics)
- NEP-ETS-2016-04-04 (Econometric Time Series)
- NEP-FOR-2016-04-04 (Forecasting)
- NEP-ORE-2016-04-04 (Operations Research)
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