Construction of Stationary Time Series via the Gibbs Sampler with Application to Volatility Models

Michael K. Pitt and Stephen G. Walker

No 269365, Economic Research Papers from University of Warwick - Department of Economics

Abstract: In this paper, we provide a method for modelling stationary time series. We allow the family of marginal densities for the observations to be specied. Our approach is to construct the model with a specied marginal family and build the dependence structure around it. We show that the resulting time series is linear with a simple autocorrelation structure. In particular, we present an original application of the Gibbs sampler. We illustrate our approach by fitting a model to time series count data with a marginal Poisson-gamma density.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 31
Date: 2001-06-06
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:269365

DOI: 10.22004/ag.econ.269365

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