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Persistent link: https://www.econbiz.de/10006776240
We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior...
Persistent link: https://www.econbiz.de/10005012896
This paper develops Bayesian approaches to deal with linear elliptical regression models that differ in the covariance structure. A pretest method based on posterior model probabilities is compared with a pooling approach, and the data density is defined as a mixture of elliptical densities with...
Persistent link: https://www.econbiz.de/10005066254
Persistent link: https://www.econbiz.de/10005171546
Persistent link: https://www.econbiz.de/10005610358
This paper discusses Bayesian inference for stochastic volatility models based on continuous superpositions of Ornstein-Uhlenbeck processes. These processes represent an alternative to the previously considered discrete superpositions. An interesting class of continuous superpositions is defined...
Persistent link: https://www.econbiz.de/10005619877
We examine the issue of variable selection in linear regression modelling, where we have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the appropriate subset. In this context, Bayesian Model Averaging presents a formal...
Persistent link: https://www.econbiz.de/10010588325
The aim is to introduce a new econometric methodology for multi-output production frontiers. In the context of a system of frontier equations, a flexible multivariate distribution for the inefficiency error term is used. This multivariate distribution is constructed through a copula function...
Persistent link: https://www.econbiz.de/10010617646
This paper examines the issue of variable selection in linear regression modeling, where there is a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the appropriate subset. In this context, Bayesian Model Averaging presents a...
Persistent link: https://www.econbiz.de/10009189859
We examine the issue of variable selection in linear regression have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the Model Averaging presents uncertainty. Our main interest here is the effect of the prior on the results,...
Persistent link: https://www.econbiz.de/10009195324