- Tytuł:
- Bayesian Variations on the Frisch and Waugh Theme
- Autorzy:
- Osiewalski, Jacek
- Powiązania:
- https://bibliotekanauki.pl/articles/483315.pdf
- Data publikacji:
- 2011
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Bayesian inference
regression models
SURE models
VAR processes
data transformations - Opis:
- The paper is devoted to discussing consequences of the so-called Frisch-Waugh Theorem to posterior inference and Bayesian model comparison. We adopt a generalised normal linear regression framework and weaken its assumptions in order to cover non-normal, jointly elliptical sampling distributions, autoregressive specifications, additional nuisance parameters and multi-equation SURE or VAR models. The main result is that inference based on the original full Bayesian model can be obtained using transformed data and reduced parameter spaces, provided the prior density for scale or precision parameters is appropriately modified.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2011, 3, 1; 39-47
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł