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Fighting the teflon factor : Comparing classical and Bayesian estimators for autocorrelated errors

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  • Kennedy, Peter
  • Simons, Daniel

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  • Kennedy, Peter & Simons, Daniel, 1991. "Fighting the teflon factor : Comparing classical and Bayesian estimators for autocorrelated errors," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 15-27.
    • Handle: RePEc:eee:econom:v:48:y:1991:i:1-2:p:15-27
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    Cited by:

    1. Xingyuan Zhang, 2000. "A Monte Carlo Study on the Finite Sample Properties of the Gibbs Sampling Method for a Stochastic Frontier Model," Journal of Productivity Analysis, Springer, vol. 14(1), pages 71-83, July.
    2. Keuk-Soo Kim & W. Douglas McMillin, 2003. "Estimating the effects of monetary policy shocks: does lag structure matter?," Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1515-1526.
    3. W. Douglas McMillin & Keuk-Soo Kim, 2001. "Symmetric versus Asymmetric Lag Structures in Vector Autoregressive Models: A Monte Carlo Analysis with an Application to Estimating the Effects of Monetary Policy Shocks," Departmental Working Papers 2001-01, Department of Economics, Louisiana State University.
    4. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.

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