A Bayesian note on competing correlation structures in the dynamic linear regression model

DOI10.1016/0165-1765(92)90131-HzbMath0769.62025MaRDI QIDQ1802080

Mark F. J. Steel, Jacek Osiewalski

Publication date: 30 August 1993

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Bayesian posterior odds approachdynamic linear regression modelserror correlation structures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Cites Work

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• A point optimal test for autoregressive disturbances
• Robust Bayesian inference in elliptical regression models
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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