Cross-Validatory Model Selection for Bayesian Autoregressions with Exogenous Regressors
Author:
Affiliation:
1. Department of Econometrics and Business Statistics, Monash University, Clayton, Australia
2. Normal Computing, New York
3. Department of Computer Science, Aalto University, Helsinki, Finland
Publisher
Institute of Mathematical Statistics
Reference27 articles.
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4. Berger, J., Bayarri, M. J., and Pericchi, L. R. (2014). “The effective sample size.” Econometric Reviews, 33(1-4): 197–217.
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