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Bayesian Analysis Of Autoregressive Time Series Via The Gibbs Sampler

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Cited by:

  1. A. Ford Ramsey & Tadashi Sonoda, 2026. "Railways and grain price convergence in Meiji Japan," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 20(1), pages 115-151, January.
  2. Park, Soo Jung & Wan Shin, Dong & Uk Park, Byeong & Chul Kim, Woo & Oh, Man-Suk, 2005. "Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(4), pages 1192-1204, June.
  3. Sánchez, María Jesús & Peña, Daniel, 1997. "The identification of multiple outliers in arima models," DES - Working Papers. Statistics and Econometrics. WS 6220, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. McCoy, E. J. & Stephens, D. A., 2004. "Bayesian time series analysis of periodic behaviour and spectral structure," International Journal of Forecasting, Elsevier, vol. 20(4), pages 713-730.
  5. Liu, Yixuan & Kirch, Claudia & Lee, Jeong Eun & Meyer, Renate, 2024. "A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 199(C).
  6. Francesco Battaglia & Lia Orfei, 2005. "Outlier Detection And Estimation In NonLinear Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 107-121, January.
  7. N. K. Unnikrishnan, 2004. "Bayesian Subset Model Selection for Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 671-690, September.
  8. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, IZA Network @ LISER.
  9. Luigi Spezia & Andy Vinten & Roberta Paroli & Marc Stutter, 2021. "An evolutionary Monte Carlo method for the analysis of turbidity high‐frequency time series through Markov switching autoregressive models," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
  10. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, University Library of Munich, Germany.
  11. Fong, Pak Wing & Li, Wai Keung, 2003. "On time series with randomized unit root and randomized seasonal unit root," Computational Statistics & Data Analysis, Elsevier, vol. 43(3), pages 369-395, July.
  12. Chatzivgeri, Eleni & Mumtaz, Haroon & Tavasci, Daniela & Ventimiglia, Luigi, 2019. "Common and country specific factors in the distribution of real wages," Economics Letters, Elsevier, vol. 184(C).
  13. Tsay, Ruey S. & Peña, Daniel & Pankratz, Alan E., 1998. "Outliers in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS 6285, Universidad Carlos III de Madrid. Departamento de Estadística.
  14. Cathy W. S. Chen & Jack C. Lee, 1995. "Bayesian Inference Of Threshold Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 483-492, September.
  15. Baragona, Roberto & Battaglia, Francesco & Calzini, Claudio, 2001. "Genetic algorithms for the identification of additive and innovation outliers in time series," Computational Statistics & Data Analysis, Elsevier, vol. 37(1), pages 1-12, July.
  16. Yuzhi Cai & Julian Stander, 2020. "The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 395-424.
  17. Lau, John W. & So, Mike K.P., 2008. "Bayesian mixture of autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 38-60, September.
  18. Oh, Man-Suk & Shin, Dong Wan & Kim, Han Joon, 2002. "Bayesian analysis of regression models with spatially correlated errors and missing observations," Computational Statistics & Data Analysis, Elsevier, vol. 39(4), pages 387-400, June.
  19. Juan Laborda & Sonia Ruano & Ignacio Zamanillo, 2023. "Multi-Country and Multi-Horizon GDP Forecasting Using Temporal Fusion Transformers," Mathematics, MDPI, vol. 11(12), pages 1-26, June.
  20. Myroslav Pidkuyko, 2014. "Dynamics of Consumption and Dividends over the Business Cycle," CERGE-EI Working Papers wp522, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  21. Héctor Zárate & Norberto Rodr�guez & Margarita Mar�n, 2013. "El tamano de las empresas y la transmisión de la política monetaria en Colombia: una aplicación con la encuesta mensual de expectativas económicas," Revista de Economía del Rosario, Universidad del Rosario.
  22. Chen, Cathy W. S., 1997. "Detection of additive outliers in bilinear time series," Computational Statistics & Data Analysis, Elsevier, vol. 24(3), pages 283-294, May.
  23. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
  24. Greyserman, Alex & Jones, Douglas H. & Strawderman, William E., 2006. "Portfolio selection using hierarchical Bayesian analysis and MCMC methods," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 669-678, February.
  25. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
  26. Galeano, Pedro & Peña, Daniel & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de Estadística.
  27. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
  28. Byers, J.W. & Popova, I. & Simkins, B.J., 2021. "Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers," Journal of Commodity Markets, Elsevier, vol. 24(C).
  29. Justel, A. & Peña, Daniel & Tsay, Ruey S., 1998. "Detection of outlier patches in autoregressive time series," DES - Working Papers. Statistics and Econometrics. WS 9821, Universidad Carlos III de Madrid. Departamento de Estadística.
  30. Michael K Pitt & Neil Shephard, "undated". "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
  31. Barnett, Glen & Kohn, Robert & Sheather, Simon, 1996. "Bayesian estimation of an autoregressive model using Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 74(2), pages 237-254, October.
  32. Ren, Xiyu & Marotta, Fulvia & Lafond, François, 2025. "Do common shocks drive changes in aggregate emissions intensity?," INET Oxford Working Papers 2025-15, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, revised Feb 2026.
  33. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
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