Relative efficiencies of some simple Bayes estimators of coefficients in dynamic models. I

DOI10.1016/0304-4076(75)90036-6zbMath0339.62067OpenAlexW2027903339MaRDI QIDQ1231371

Paul N. Rappoport, P. A. V. B. Swamy

Publication date: 1975

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

Full work available at URL: https://doi.org/10.1016/0304-4076(75)90036-6

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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Minimum average risk estimators for coefficients in linear models ⋮ Relative efficiencies of some simple Bayes estimators of coefficients in a dynamic equation with serially correlated errors. II ⋮ On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative ⋮ Two methods of evaluating hoerl and kennard's ridge regression

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