156
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

A Bayesian estimation of lag lengths in distributed lag models

, , &
Pages 415-427 | Received 11 Dec 2011, Accepted 13 Jul 2012, Published online: 30 Aug 2012

REFERENCES

  • R.C. Hill, W.E. Griffiths, and G.G. Judge, Undergraduate Econometrics, 2nd ed., John Wiley & Sons, New York, 1997.
  • W.H. Greene, Econometric Analysis, 5th ed., New York University, Prentice Hall, New York, 2003.
  • G.G. Judge, R.C. Hill, W.E. Griffiths, H. Lütkepohl, and T.C. Lee, Introduction to the Theory and Practice of Econometrics, 2nd ed., John Wiley & Sons, New York, 1998.
  • H. Akaike, Fitting autoregressive model for prediction, Ann. Inst. Stat. Math. 21 (1969), pp. 243–247. doi: 10.1007/BF02532251
  • H. Akaike, Information theory and an extension of the maximum likelihood principle, in 2nd International Symposium on Information Theory, B.N. Petrov and F. Csáki, eds., Akadémia Kiado, Budapest, 1973, pp. 267–281.
  • G. Schwarz, Estimating the dimension of a model, Ann. Stat. 6(2) (1978), pp. 461–464. doi: 10.1214/aos/1176344136
  • E.J. Hannan and B.G. Quinn, The determination of the order of an autoregression, J. R. Statist. Soc. B 41(2) (1979), pp. 190–195.
  • B.G. Quinn, Order determination for a multivariate autoregression, J. R. Stat. Soc. Ser. B 42 (1980), pp. 182–185.
  • C.M. Hurvich and C.-L. Tsai, Regression and time series model selection in small samples, Biometrika 76(2) (1989), pp. 297–307. doi: 10.1093/biomet/76.2.297
  • C.P.R. Furlan, C.A.R. Diniz, and M.A.P. Franco, Estimation of lag length in distributed lag models: A comparative study, Adv. Appl. Stat. 17(2) (2010), pp. 127–142.
  • M. Villani, Fractional Bayesian lag length inference in multivariate auto-regressive processes, J. Time Ser. Anal. 22 (2001), pp. 67–86. doi: 10.1111/1467-9892.00212
  • A. O'Hagan, Fractional Bayes factors for model comparison (with discussion), J. R. Stat. Soc. B 57 (1995), pp. 99–138.
  • W. Hardle, J. Horowitz, and J.P. Kreiss, Bootstrap methods for time series, Int. Stat. Rev. 71(2) (2003), pp. 435–459.
  • H.D. Vinod, Ranking mutual funds using unconventional utility theory and stochastic dominance, J. Emp. Finance 11(3) (2004), pp. 353–377. doi: 10.1016/j.jempfin.2003.06.002
  • H.D. Vinod, Maximum entropy ensembles for time series inference in economics, J. Asian Econ. 17(6) (2006), pp. 955–978. doi: 10.1016/j.asieco.2006.09.001
  • H.D. Vinod and J.L. Lacalle, Maximum entropy bootstrap for time series: The meboot R package, J. Stat. Softw. 29(5) (2009), pp. 1–19.
  • H. Lutkepohl, Comparison of criteria for estimating the order of a vector autoregressive process, J. Time Ser. Anal. 6 (1985), pp. 35–52. doi: 10.1111/j.1467-9892.1985.tb00396.x
  • A. Zellner, An Introduction to Bayesian Inference in Econometrics, John Wiley & Sons, New York, 1971.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.