We consider a Bayesian analysis of linear regression models that can account for skewed error distributions with fat tails. The latter two features are often observed characteristics of empirical data sets, and we will formally incorporate them in the inferential process. A general procedure for...

We consider a Bayesian analysis of the stochastic frontier model with composed error. Under a commonly used class of (partly) noninformative prior distributions, the existence of the posterior distribution and of posterior moments is examined. Viewing this model as a Normal linear regression...

Bayesian Econometrics introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced undergraduate or graduate level. The book is self-contained and does not require previous training in econometrics. The focus is on models used by applied economists and the...