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Bayesian and non-Bayesian analysis of the seemingly unrelated regression model with Student-t errors, and its application for forecasting
Zellner, Arnold; Ando, Tomohiro - In: International Journal of Forecasting 26 (2010) 2, pp. 413-434
A description of computationally efficient methods for the Bayesian analysis of Student-t seemingly unrelated regression (SUR) models with unknown degrees of freedom is given. The method combines a direct Monte Carlo (DMC) approach with an importance sampling procedure to calculate Bayesian...
Persistent link: https://www.econbiz.de/10008507400
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Rejoinder
Zellner, Arnold; Ando, Tomohiro - In: International Journal of Forecasting 26 (2010) 2, pp. 439-442
Persistent link: https://www.econbiz.de/10008507418
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A tale of forecasting 1001 series : The Bayesian knight strikes again
Zellner, Arnold - In: International Journal of Forecasting 2 (1986) 4, pp. 491-494
Persistent link: https://www.econbiz.de/10005418648
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The Marshallian macroeconomic model: A progress report
Zellner, Arnold; Israilevich, Guillermo - In: International Journal of Forecasting 21 (2005) 4, pp. 627-645
Persistent link: https://www.econbiz.de/10005429009