Multivariate Student -t Regression Models : Pitfalls and Inference
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Fernández, C. & Steel, M.F.J., 1997. "Multivariate Student -t Regression Models : Pitfalls and Inference," Discussion Paper 1997-08, Tilburg University, Center for Economic Research.
References listed on IDEAS
- Liu, C., 1995. "Missing Data Imputation Using the Multivariate t Distribution," Journal of Multivariate Analysis, Elsevier, vol. 53(1), pages 139-158, April.
- Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Manuel Galea & Heleno Bolfarine & Filidor Vilcalabra, 2002. "Influence diagnostics for the structural errors-in-variables model under the Student-t distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(8), pages 1191-1204.
- David Cademartori & Cecilia Romo & Ricardo Campos & Manuel Galea, 2003. "Robust estimation of systematic risk using the t distribution in the chilean stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 447-453.
- Antonio Sanhueza & Víctor Leiva & N. Balakrishnan, 2008. "A new class of inverse Gaussian type distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(1), pages 31-49, June.
- Filidor Labra & Reiko Aoki & Heleno Bolfarine, 2005. "Local influence in null intercept measurement error regression under a student_t model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 723-740.
- Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics 0403001, University Library of Munich, Germany.
- Griffin, J.E. & Steel, M.F.J., 2006.
"Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
- James E. Griffin & Mark F.J. Steel, 2002. "Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility," Econometrics 0201002, University Library of Munich, Germany, revised 04 Apr 2003.
- Felipe Osorio & Manuel Galea, 2006. "Detection of a change-point in student-t linear regression models," Statistical Papers, Springer, vol. 47(1), pages 31-48, January.
- Yongjae Kwon & Hamparsum Bozdogan & Halima Bensmail, 2009. "Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 83-101.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Margarita Marín & Edilberto Cepeda-Cuervo, 2022. "A Bayesian Regression Model for the Non-standardized t Distribution with Location, Scale and Degrees of Freedom Parameters," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 809-830, November.
- Olawale Awe O. & Adedayo Adepoju A., 2018. "Modified Recursive Bayesian Algorithm For Estimating Time-Varying Parameters In Dynamic Linear Models," Statistics in Transition New Series, Statistics Poland, vol. 19(2), pages 258-293, June.
- Justin L. Tobias & Mingliang Li, 2003.
"A finite-sample hierarchical analysis of wage variation across public high schools: evidence from the NLSY and high school and beyond,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 315-336.
- Tobias, Justin & Li, Mingliang, 2003. "A Finite Sample Hierarchical Analysis of Wage Variation Across Public High Schools: Evidence from the Nlsy and High School and Beyond," Staff General Research Papers Archive 12015, Iowa State University, Department of Economics.
- Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 489-499.
- Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
- Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1824-1839, July.
- Junrong Liu & Robin C. Sickles & E. G. Tsionas, 2017. "Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity," Econometrics, MDPI, vol. 5(3), pages 1-21, July.
- Markku Lanne & Arto Luoma & Jani Luoto, 2012.
"Bayesian Model Selection And Forecasting In Noncausal Autoregressive Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(5), pages 812-830, August.
- Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009. "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models," MPRA Paper 23646, University Library of Munich, Germany.
- Miranowski, John A. & Monchuk, Daniel C., 2004. "Spatial Labor Markets and Technology Spillovers - Analysis from the US Midwest," Working Papers 18224, Iowa State University, Department of Economics.
- Haroon Mumtaz & Fulvia Marotta, 2023. "Vulnerability to Climate Change: Evidence from a Dynamic Factor Model," Working Papers 961, Queen Mary University of London, School of Economics and Finance.
- Doris A. Oberdabernig & Stefan Humer & Jesus Crespo Cuaresma, 2018. "Democracy, Geography and Model Uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(2), pages 154-185, May.
- Theodore Panagiotidis & Georgios Papapanagiotou, 2024.
"A note on the determinants of NFTs returns,"
Working Paper series
24-07, Rimini Centre for Economic Analysis.
- Theodore Panagiotidis & Georgios Papapanagiotou, 2024. "A note on the determinants of NFTs returns," Discussion Paper Series 2024_02, Department of Economics, University of Macedonia, revised Feb 2024.
- Moeltner, Klaus, 2019. "Bayesian nonlinear meta regression for benefit transfer," Journal of Environmental Economics and Management, Elsevier, vol. 93(C), pages 44-62.
- Fernández, C. & Steel, M.F.J., 1996.
"On Bayesian Inference under Sampling from Scale Mixtures of Normals,"
Discussion Paper
1996-02, Tilburg University, Center for Economic Research.
- Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Other publications TiSEM 10be2f67-1679-4828-bba6-7, Tilburg University, School of Economics and Management.
- Susan L. Ettner & Betsy L. Cadwell & Louise B. Russell & Arleen Brown & Andrew J. Karter & Monika Safford & Carol Mangione & Gloria Beckles & William H. Herman & Theodore J. Thompson & and The TRIAD S, 2009. "Investing time in health: do socioeconomically disadvantaged patients spend more or less extra time on diabetes self‐care?," Health Economics, John Wiley & Sons, Ltd., vol. 18(6), pages 645-663, June.
- Bassetti, Federico & De Giuli, Maria Elena & Nicolino, Enrica & Tarantola, Claudia, 2018. "Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1107-1121.
- Francesco Pattarin, 2018. "Spending Policies of Italian Banking Foundations," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0071, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Vasco Cúrdia & Marco Del Negro & Daniel L. Greenwald, 2014.
"Rare Shocks, Great Recessions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1031-1052, November.
- Marco Del Negro & Vasco Curdia, 2012. "Rare Shocks, Great Recessions," 2012 Meeting Papers 654, Society for Economic Dynamics.
- Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2013. "Rare Shocks, Great Recessions," Working Paper Series 2013-01, Federal Reserve Bank of San Francisco.
- Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2012. "Rare shocks, great recessions," Staff Reports 585, Federal Reserve Bank of New York.
- Efthymios G. Tsionas, 2006.
"Inference in dynamic stochastic frontier models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 669-676, July.
- Efthymios G. Tsionas, 2006. "Inference in dynamic stochastic frontier models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 669-676.
- Chan, Joshua C.C., 2021.
"Minnesota-type adaptive hierarchical priors for large Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:3fff240d-a587-4537-ba5f-22dcadd3f3b1. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.