Baltagi, Badi H.; Bresson, Georges; Chaturvedi, Anoop; … - 2022
This paper extends the Baltagi et al. (2018, 2021) static and dynamic ε-contamination papers to dynamic space-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian approach departs from the...