An asymptotic theory of Bayesian inference for time series

Econometrica

Volumn 64, Issue 2, 1996, Pages 381-412

  Phillips, Peter C B ^a   Ploberger, Werner ^a  

^a NONE

Author keywords

Autoregression; Bayesian data measure; Data density process; Dol ans exponential; Exponential data density; Likelihood; Martingale; Posterior process; Prior density; Quadratic variation process; Stochastic differential equation; Unit root

Indexed keywords

STATISTICAL TESTS;

ASYMPTOTIC BEHAVIOR; AUTOREGRESSION; BAYES ESTIMATION; EMBEDDING; EXPONENTIAL FUNCTION; MARTINGALE; PRIOR DISTRIBUTION; PROBABILITY DENSITY; STOCHASTIC EQUATION; UNIT ROOT;

TIME SERIES ANALYSIS;

EID: 0030353926     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171788     Document Type: Article

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