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Bayesian Autoregressive Modeling

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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.

Free download from Shareware Connection - The priors may be: Litterman random walk plus drift prior

Publisher: Enrique M. QUILIS | License: Shareware
Version: 1.0 | Size: 461 KB | Platform: Matlab, Scripts
Released Date: 24-06-2013 | Rating: 0 | Title: Bayesian Autoregressive Modeling

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/26955/1/BayARX.zip

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