標題: | Bayesian estimation for time-series regressions improved with exact likelihoods |
作者: | Chen, CWS Lee, JC Lee, HY Niu, WF 統計學研究所 資訊管理與財務金融系 註:原資管所+財金所 Institute of Statistics Department of Information Management and Finance |
關鍵字: | autoregressive process;exact likelihood;Markov chain Monte Carlo;partial autocorrelations |
公開日期: | 1-十月-2004 |
摘要: | We propose an estimation procedure for time-series regression models under the Bayesian inference framework. With the exact method of Wise [Wise, J. (1955). The autocorrelation function and spectral density function. Biometrika, 42, 151-159], an exact likelihood function can be obtained instead of the likelihood conditional on initial observations. The constraints on the parameter space arising from the stationarity conditions are handled by a reparametrization, which was not taken into consideration by Chib [Chib, S. (1993). Bayes regression with autoregressive errors: A Gibbs sampling approach. J. Econometrics, 58, 275-294] or Chib and Greenberg [Chib, S. and Greenberg, E. (1994). Bayes inference in regression model with ARMA(p, q) errors. J. Econometrics, 64, 183-206]. Simulation studies show that our method leads to better inferential results than their results. |
URI: | http://dx.doi.org/10.1080/00949650310001643270 http://hdl.handle.net/11536/26320 |
ISSN: | 0094-9655 |
DOI: | 10.1080/00949650310001643270 |
期刊: | JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION |
Volume: | 74 |
Issue: | 10 |
起始頁: | 727 |
結束頁: | 740 |
顯示於類別: | 期刊論文 |