A Bayesian multivariate nonstationary time series model for estimating mutual relationships among variables.
The purpose of this paper is to propose a Bayesian multivariate stochastic model with latent nonstationary trends and seasonal components and show its use to determine the relationships among the variables. The model is expressed in state space form and the parameters of the model are estimated by...
| Publicado en: | Journal of Econometrics Vol. 75; pp. 147 - 162 |
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| Autores principales: | , , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
November 1996
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |