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Multivariate Student -t Regression Models : Pitfalls and Inference

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  • Fernández, C.
  • Steel, M.F.J.

    (Tilburg University, Center For Economic Research)

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  • Fernández, C. & Steel, M.F.J., 1997. "Multivariate Student -t Regression Models : Pitfalls and Inference," Discussion Paper 1997-08, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:3fff240d-a587-4537-ba5f-22dcadd3f3b1
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/526576/8.pdf
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    References listed on IDEAS

    as
    1. Liu, C., 1995. "Missing Data Imputation Using the Multivariate t Distribution," Journal of Multivariate Analysis, Elsevier, vol. 53(1), pages 139-158, April.
    2. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
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    Cited by:

    1. Filidor Labra & Reiko Aoki & Heleno Bolfarine, 2005. "Local influence in null intercept measurement error regression under a student_t model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 723-740.
    2. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics 0403001, University Library of Munich, Germany.
    3. Manuel Galea & Heleno Bolfarine & Filidor Vilcalabra, 2002. "Influence diagnostics for the structural errors-in-variables model under the Student-t distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(8), pages 1191-1204.
    4. David Cademartori & Cecilia Romo & Ricardo Campos & Manuel Galea, 2003. "Robust estimation of systematic risk using the t distribution in the chilean stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 447-453.
    5. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
    6. Felipe Osorio & Manuel Galea, 2006. "Detection of a change-point in student-t linear regression models," Statistical Papers, Springer, vol. 47(1), pages 31-48, January.
    7. Antonio Sanhueza & Víctor Leiva & N. Balakrishnan, 2008. "A new class of inverse Gaussian type distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(1), pages 31-49, June.
    8. Yongjae Kwon & Hamparsum Bozdogan & Halima Bensmail, 2009. "Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 83-101.

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