Bayesian Autoregressive Modeling

Versione 1.0.0.0 (458 KB) da Enrique M. Quilis
Specification and estimation of Bayesian univariate autoregressive models.
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Aggiornato 15 mar 2010

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The priors may be: Litterman random walk plus drift prior; Raynauld-Simonato seasonal random walk plus drift prior or Canova prior: seasonal and non-seasonal unit roots via stochastic constraints + Litterman prior. Combination is achieved using Theil-Goldberger mixed estimation.
Estimation uses Theil-Goldberger mixed procedure or OLS.
Calibration may be performed using axial search.
Analytics based on the AR filter.

Cita come

Enrique M. Quilis (2024). Bayesian Autoregressive Modeling (https://www.mathworks.com/matlabcentral/fileexchange/26955-bayesian-autoregressive-modeling), MATLAB Central File Exchange. Recuperato .

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Versione Pubblicato Note della release
1.0.0.0