A Bayesian approach to time-varying cross-sectional regression models

DOI10.1016/0304-4076(81)90099-3zbMath0461.90016OpenAlexW2054860752MaRDI QIDQ1152845

Lon-Mu Liu, Dominique M. Hanssens

Publication date: 1981

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90099-3

zbMATH Keywords

estimationstate space modelsregression modelsBayesian approachprice elasticitiestime-varying cross-sectional regression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (1)

A Gibbs sampling approach to estimation and prediction of time-varying-parameter models.

Uses Software

• LINPACK

Cites Work

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