Bayesian Estimation of Unknown Regression Error Heteroscedasticity
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- Hiroaki Chigira & Tsunemasa Shiba, 2007. "Bayesian Estimation of Unknown Regression Error Heteroscedasticity," Hi-Stat Discussion Paper Series d07-221, Institute of Economic Research, Hitotsubashi University.
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- 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.
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KeywordsEicker-White HCCM; orthogonal regressors; informative prior pdf's; MCMC; stock return variance;
- 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 fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-18 (All new papers)
- NEP-ECM-2009-04-18 (Econometrics)
- NEP-ORE-2009-04-18 (Operations Research)
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