Robust Bayesian Analysis of a Parameter Change in Linear Regression
AbstractRobust Bayesian analyzes in a conjugate normal framework have been developed by Leamer (1978) and Polasek and Potzelberger (1987). Fixing the prior mean and varying the prior covariance matrix yields a so-called feasible ellipsoid for the posterior mean and robust HPD regions, also called HiFi-regions. This paper considers the application of this approach to gain robust Bayesian inference in case of a parameter change in regression models.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 14 (1989)
Issue (Month): 2 ()
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