Bayesian estimation of an autoregressive model using Markov chain Monte Carlo

Glen Barnett, Robert Kohn, Simon Sheather

Research output: Contribution to journalArticlepeer-review

81 Scopus citations

Abstract

We present a complete Bayesian treatment of autoregressive model estimation incorporating choice of autoregressive order, enforcement of stationarity, treatment of outliers, and allowance for missing values and multiplicative seasonality. The paper makes three distinct contributions. First, we enforce the stationarity conditions using a very efficient Metropolis-within-Gibbs algorithm to generate the partial autocorrelations. Second we show how to carry out the Gibbs sampler when the autoregressive order is unknown. Third, we show how to combine the various aspects of fitting an autoregressive model giving a more comprehensive and efficient treatment than previous work. We illustrate our methodology with a real example.

Original languageEnglish
Pages (from-to)237-254
Number of pages18
JournalJournal of Econometrics
Volume74
Issue number2
DOIs
StatePublished - Oct 1996

Keywords

  • Gibbs sampler
  • Metropolis algorithm
  • Missing data
  • Order selection
  • Outliers

ASJC Scopus subject areas

  • Economics and Econometrics

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