Stochastic model specification search for Gaussian and partial non-Gaussian state space models

Journal of Econometrics

Volumn 154, Issue 1, 2010, Pages 85-100

  Frühwirth Schnatter, Sylvia ^a   Wagner, Helga ^a  

^a JOHANNES KEPLER UNIVERSITY LINZ   (Austria)

Author keywords

Auxiliary mixture sampling; Bayesian econometrics; Markov chain Monte Carlo; Non centered parameterization; Variable selection

Indexed keywords

AUXILIARY MIXTURE SAMPLING; BAYESIAN ECONOMETRICS; MARKOV CHAIN MONTE CARLO; NON-CENTERED PARAMETERIZATION; VARIABLE SELECTION;

BAYESIAN NETWORKS; GAUSSIAN NOISE (ELECTRONIC); MARKOV PROCESSES; MIXTURES; MONTE CARLO METHODS; REGRESSION ANALYSIS; SPECIFICATIONS; TIME SERIES;

STOCHASTIC MODELS;

EID: 70349838367     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.07.003     Document Type: Article

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