Autoregression with Non-Gaussian Innovations

Yuzhi Cai

Journal of Time Series Econometrics, 2009, vol. 1, issue 2, 18

Abstract: Many economics and finance time series are non-Gaussian. In this paper, we propose a Bayesian approach to non-Gaussian autoregressive time series models via quantile functions. This approach is parametric, so we also compare the proposed parametric approach with a semi-parametric approach. Simulation studies and applications to real time series show that this method works very well.

Keywords: Bayesian method; quantile function; non-Gaussian time series; simulation; parametric and semi-parametric approaches (search for similar items in EconPapers)
Date: 2009
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DOI: 10.2202/1941-1928.1016

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