Bayesian Inference in a Time Varying Cointegration Model
نویسندگان
چکیده
منابع مشابه
Bayesian inference of time varying parameters in autoregressive processes
In the autoregressive process of first order AR(1), a homogeneous correlated time series ut is recursively constructed as ut = q ut−1 + σ t, using random Gaussian deviates t and fixed values for the correlation coefficient q and for the noise amplitude σ. To model temporally heterogeneous time series, the coefficients qt and σt can be regarded as time-dependent variables by themselves, leading ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1899383