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| Author: | Barnett, G. Kohn, R. Sheather, S. |
| Title: | Bayesian estimation of an autoagressive model using Markov chain Monte Carlo |
| Journal: | Journal of Econometrics
1996 : VOL. 74:2, p. 237-254 |
| Index terms: | BAYESIAN STATISTICS MARKOV CHAINS ESTIMATION |
| Language: | eng |
| Abstract: | We present a complete Bayesian treatment of autoagressive model estimation incorporating choice of autoagressive oder, enforcement of stationarity, treatment of outliers, and allowance for missing values and multiplicative seasonality. The paper makes three distinct contributions. First, we enforce the stationarity conditions using a very efficient Metropolis-within-Gibbs algorithm to generate the partial autocorrelations. Second we show how to carry out the Gibbs sampler when the autoregressive order is unknown. Third, we show how to combine the various aspects of fitting an autoregressive model giving a more comprehensive and efficient treatment than previous work. We illustrate our methodology with a real example. |
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