Bayesian Linear Regression with Conditional Heteroskedasticity
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References listed on IDEAS
- Norets, Andriy, 2015. "Bayesian regression with nonparametric heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 409-419.
- Norets, Andriy & Pati, Debdeep, 2017. "Adaptive Bayesian Estimation Of Conditional Densities," Econometric Theory, Cambridge University Press, vol. 33(4), pages 980-1012, August.
- Pelenis, Justinas, 2014. "Bayesian regression with heteroscedastic error density and parametric mean function," Journal of Econometrics, Elsevier, vol. 178(P3), pages 624-638.
- repec:dau:papers:123456789/3984 is not listed on IDEAS
- Lizhen Lin & David B. Dunson, 2014. "Bayesian monotone regression using Gaussian process projection," Biometrika, Biometrika Trust, vol. 101(2), pages 303-317.
- Weining Shen & Surya T. Tokdar & Subhashis Ghosal, 2013. "Adaptive Bayesian multivariate density estimation with Dirichlet mixtures," Biometrika, Biometrika Trust, vol. 100(3), pages 623-640.
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Cited by:
- Lewis, Gabriel, 2022. "Heteroskedasticity and Clustered Covariances from a Bayesian Perspective," MPRA Paper 116662, University Library of Munich, Germany.
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Keywords
Bayesian linear regression;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-05-30 (Econometrics)
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