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Bayesian Autoregressive Modeling

version (458 KB) by Enrique M. Quilis
Specification and estimation of Bayesian univariate autoregressive models.


Updated 15 Mar 2010

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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.

Cite As

Enrique M. Quilis (2022). Bayesian Autoregressive Modeling (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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