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Hyperparameter estimation in forecast models

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  • Lopes, Hedibert Freitas
  • Moreira, Ajax R. Bello
  • Schmidt, Alexandra Mello

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  • Lopes, Hedibert Freitas & Moreira, Ajax R. Bello & Schmidt, Alexandra Mello, 1999. "Hyperparameter estimation in forecast models," Computational Statistics & Data Analysis, Elsevier, vol. 29(4), pages 387-410, February.
    • Handle: RePEc:eee:csdana:v:29:y:1999:i:4:p:387-410
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    References listed on IDEAS

    as
    1. John Geweke, 1994. "Bayesian comparison of econometric models," Working Papers 532, Federal Reserve Bank of Minneapolis.
    2. Koop, G, 1992. "Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 395-411, Oct.-Dec..
    3. van Dijk, H. K. & Kloek, T., 1980. "Further experience in Bayesian analysis using Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 14(3), pages 307-328, December.
    4. Lima, Elcyon Caiado Rocha & Migon, Hélio S. & Lopes, Hedibert Freitas, 1993. "Efeitos dinâmicos dos choques de oferta e demanda agregadas sobre o nível de atividade econômica do Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 47(2), April.
    5. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    6. Michael K Pitt & Neil Shephard, "undated". "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
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    Citations

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    Cited by:

    1. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2020. "Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 124-136, January.
    2. Thiago R. Santos & Glaura C. Franco & Dani Gamerman, 2010. "Comparison of Classical and Bayesian Approaches for Intervention Analysis," International Statistical Review, International Statistical Institute, vol. 78(2), pages 218-239, August.
    3. Ajax R. B. Moreira & Dani Gamerman, 2015. "Bayesian Analysis of Econometric Time Series Models Using Hybrid Integration Rules," Discussion Papers 0105, Instituto de Pesquisa Econômica Aplicada - IPEA.
    4. Lusompa, Amaze, 2019. "Local Projections, Autocorrelation, and Efficiency," MPRA Paper 99856, University Library of Munich, Germany, revised 11 Apr 2020.
    5. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015. "Prior Selection for Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
    6. Huerta, Gabriel & Lopes, Hedibert Freitas, 2000. "Bayesian forecasting and inference in latent structure for the Brazilian Industrial Production Index," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 20(1), May.
    7. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
    8. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    9. Lee, Namgil & Choi, Hyemi & Kim, Sung-Ho, 2016. "Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 250-276.
    10. Alexandra Mello Schmidt & Dani Gamerman & Ajax Moreira, 1999. "An adaptive resampling scheme for cycle estimation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(5), pages 619-641.

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