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Bayes prediction in regressions with elliptical errors

Author

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  • Chib, Siddhartha
  • Tiwari, Ram C.
  • Jammalamadaka, S. Rao

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  • Chib, Siddhartha & Tiwari, Ram C. & Jammalamadaka, S. Rao, 1988. "Bayes prediction in regressions with elliptical errors," Journal of Econometrics, Elsevier, vol. 38(3), pages 349-360, July.
    • Handle: RePEc:eee:econom:v:38:y:1988:i:3:p:349-360
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    Citations

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    Cited by:

    1. Saverio Ranciati & Giuliano Galimberti & Gabriele Soffritti, 2019. "Bayesian variable selection in linear regression models with non-normal errors," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(2), pages 323-358, June.
    2. Kibria, B. M. Golam & Haq, M. Safiul, 1999. "Predictive Inference for the Elliptical Linear Model," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 235-249, February.
    3. Osiewalski, Jacek & Steel, Mark F.J., 1992. "Posterior moments of scale parameters in elliptical regression models," UC3M Working papers. Economics 10879, Universidad Carlos III de Madrid. Departamento de Economía.
    4. Phillips, Peter C. B., 1988. "Conditional and unconditional statistical independence," Journal of Econometrics, Elsevier, vol. 38(3), pages 341-348, July.
    5. Siddhartha Chib & Srikanth Ramamurthy, 2014. "DSGE Models with Student- t Errors," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 152-171, June.
    6. Osiewalski, Jacek & Steel, Mark F. J., 1993. "Bayesian marginal equivalence of elliptical regression models," Journal of Econometrics, Elsevier, vol. 59(3), pages 391-403, October.
    7. Osiewalski, J. & Steel, M.F.J., 1989. "A Bayesian Analysis Of Exogeneity In Models Pooling Time- Series And Cross -Section Data," Papers 8914, Tilburg - Center for Economic Research.
    8. Ng, Vee Ming, 2002. "Robust Bayesian Inference for Seemingly Unrelated Regressions with Elliptical Errors," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 409-414, November.
    9. Kibria, B.M. Golam, 2006. "The matrix-t distribution and its applications in predictive inference," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 785-795, March.
    10. Osiewalski, J. & Steel, M.F.J., 1991. "Bayesian marginal equivalence of elliptical regression models," Other publications TiSEM 9ecaf734-de5e-42e4-9017-8, Tilburg University, School of Economics and Management.
    11. Kim, Hyoung-Moon & Mallick, Bani K., 2003. "A note on Bayesian spatial prediction using the elliptical distribution," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 271-276, September.
    12. Osiewalski, J. & Steel, M.F.J., 1989. "A Bayesian analysis of exogeneity in models pooling time-series and cross-section data," Other publications TiSEM a7399259-5e30-4b51-99ad-5, Tilburg University, School of Economics and Management.
    13. Zellner, Arnold & Ando, Tomohiro, 2010. "Bayesian and non-Bayesian analysis of the seemingly unrelated regression model with Student-t errors, and its application for forecasting," International Journal of Forecasting, Elsevier, vol. 26(2), pages 413-434, April.
    14. Liu, Jin Shan & Ip, Wai Cheung & Wong, Heung, 2009. "Predictive inference for singular multivariate elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1440-1446, August.

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