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Bayesian Autoregressive Modeling

version 1.0.0.0 (458 KB) by Enrique M. Quilis
Specification and estimation of Bayesian univariate autoregressive models.

1.1K Downloads

Updated 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.

Cite As

Enrique M. Quilis (2021). Bayesian Autoregressive Modeling (https://www.mathworks.com/matlabcentral/fileexchange/26955-bayesian-autoregressive-modeling), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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