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Semiparametric inference in a GARCH-in-mean model

✍ Scribed by Bent Jesper Christensen; Christian M. Dahl; Emma M. Iglesias

Book ID
113700378
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
874 KB
Volume
167
Category
Article
ISSN
0304-4076

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πŸ“œ SIMILAR VOLUMES

Semiparametric Bayesian inference in mul
Semiparametric Bayesian inference in multiple equation models
✍ Professor Gary Koop; Dale J. Poirier; Justin Tobias πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 216 KB

## Abstract This paper outlines an approach to Bayesian semiparametric regression in multiple equation models which can be used to carry out inference in seemingly unrelated regressions or simultaneous equations models with nonparametric components. The approach treats the points on each nonparamet