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Bayesian regression analysis using poly-t densities

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  • DREZE, Jacques H.

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  • DREZE, Jacques H., 1977. "Bayesian regression analysis using poly-t densities," LIDAM Reprints CORE 316, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:316
    DOI: 10.1016/0304-4076(77)90004-5
    Note: In : Journal of Econometrics, 6, 329-354, 1977
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    Cited by:

    1. Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1995. "Bayesian long-run prediction in time series models," Journal of Econometrics, Elsevier, vol. 69(1), pages 61-80, September.
    2. Koop, Gary & Steel, Mark F J, 1994. "A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 95-107, January.
    3. John C. Chao & Peter C.B. Phillips, 1996. "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior," Cowles Foundation Discussion Papers 1137, Cowles Foundation for Research in Economics, Yale University.
    4. Kleibergen, Frank & Zivot, Eric, 2003. "Bayesian and classical approaches to instrumental variable regression," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May.
    5. Chao, J. C. & Phillips, P. C. B., 1998. "Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior," Journal of Econometrics, Elsevier, vol. 87(1), pages 49-86, August.
    6. Bauwens, L. & Dijk, H. K., 1989. "Bayesian Limited Information Analysis Revisited," Econometric Institute Archives 272386, Erasmus University Rotterdam.
    7. Tullio Gregori, 1998. "A Bayesian approach to analyze regional elasticities," ERSA conference papers ersa98p226, European Regional Science Association.
    8. Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," Journal of Econometrics, Elsevier, vol. 139(1), pages 154-180, July.
    9. Geweke, John & Durham, Garland, 2019. "Sequentially adaptive Bayesian learning algorithms for inference and optimization," Journal of Econometrics, Elsevier, vol. 210(1), pages 4-25.
    10. Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.
    11. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    12. Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
    13. Balaev , Alexey, 2011. "Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 79-97.

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