parameter estimation; periodic autoregressive process; non-vanishing mean; exogenous variables; periodic variances; vague prior density; asymptotic tests; Bayes approach; testing hypotheses
The periodic autoregressive process with non-vanishing mean and with exogenous variables is investigated in the paper. It is assumed that the model has also periodic variances. The statistical analysis is based on the Bayes approach with a vague prior density. Estimators of the parameters and asymptotic tests of hypotheses are derived.
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