IDEAS home Printed from https://ideas.repec.org/p/hst/ghsdps/gd08-051.html
   My bibliography  Save this paper

Bayesian Estimation of Unknown Regression Error Heteroscedasticity

Author

Listed:
  • Hiroaki Chigira
  • Tsunemasa Shiba

Abstract

We propose a Bayesian procedure to estimate heteroscedastic variances of the regression error term ƒÖ, when the form of heteroscedasticity is unknown. The prior information on ƒÖ is elicited from the wellknown Eicker-White Heteroscedasticity Consistent Variance-Covariance Matrix Estimator. Markov Chain Monte Carlo algorithm is used to simulate posterior pdf fs of the unknown elements of ƒÖ. In addition to the numerical examples, we present an empirical investigation of the stock prices of Japanese pharmaceutical and biomedical companies to demonstrate usefulness of the proposed method.

Suggested Citation

  • Hiroaki Chigira & Tsunemasa Shiba, 2009. "Bayesian Estimation of Unknown Regression Error Heteroscedasticity," Global COE Hi-Stat Discussion Paper Series gd08-051, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hst:ghsdps:gd08-051
    as

    Download full text from publisher

    File URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd08-051.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hiroaki Chigira & Tsunemasa Shiba, 2012. "Dirichlet Prior for Estimating Unknown Regression Error Heteroscedasticity," Global COE Hi-Stat Discussion Paper Series gd12-248, Institute of Economic Research, Hitotsubashi University.

    More about this item

    Keywords

    Eicker-White HCCM; orthogonal regressors; informative prior pdf's; MCMC; stock return variance;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hst:ghsdps:gd08-051. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tatsuji Makino (email available below). General contact details of provider: https://edirc.repec.org/data/iehitjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.