Showing 1 - 8 of 8
This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.
Persistent link: https://www.econbiz.de/10005087586
It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined...
Persistent link: https://www.econbiz.de/10005087599
A Bayesian approach is presented for nonparametric estimation of an additive regression model with autocorrelated errors.
Persistent link: https://www.econbiz.de/10005149033
This paper considers the construction of model selection procedures based on choosing the model with the largest maximised log-likelihood mimus a penalty, when key parameters are restricted to be in a closed interval. The approach adopted is based on King et al.'s (1995) representative models...
Persistent link: https://www.econbiz.de/10005149039
The presence of nuisance parameters causes unwanted complications in statistical and econometric inference procedures. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but they are not equally efficient. In this paper, we...
Persistent link: https://www.econbiz.de/10005581125
This paper considers residuals for time series regression. Despite much literature on visual diagnostics for uncorrelated data, there is little on the autocorrelated case. In order to examine various aspects of the fitted time series regression model, three residuals are considered. The fitted...
Persistent link: https://www.econbiz.de/10005581126
This paper illustrates the use of Kullback-Leibler Information (KLI) measure for assessing the relative quality of two approximations to an unknown distribution from which we ca obtain simple random drawings.
Persistent link: https://www.econbiz.de/10005581134
Persistent link: https://www.econbiz.de/10005581160