Diagnostic testing in Bayesian analysis

Volume: 32, Issue: 4, Pages: 1449 - 1468
Published: Nov 18, 2019
Abstract
Purpose This paper aims to present several Bayesian specification tests for both in- and out-of-sample situations. Design/methodology/approach The authors focus on the Bayesian equivalents of the frequentist approach for testing heteroskedasticity, autocorrelation and functional form specification. For out-of-sample diagnostics, the authors consider several tests to evaluate the predictive ability of the model. Findings The authors demonstrate...
Paper Details
Title
Diagnostic testing in Bayesian analysis
Published Date
Nov 18, 2019
Volume
32
Issue
4
Pages
1449 - 1468
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