A Bayesian analysis of exogeneity in models pooling time-series and cross-sectional data

DOI10.1016/0378-3758(95)00053-4zbMath0888.62025OpenAlexW2099031263MaRDI QIDQ1918157

Jacek Osiewalski, Mark F. J. Steel

Publication date: 18 July 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00053-4

zbMATH Keywords

predictionnoncausalityBayesian cutserror-components modelspredictive exogeneitytime-series of cross-sections

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Cites Work

• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
• Exogeneity
• Efficient Estimation Using Panel Data
• CONDITIONING IN DYNAMIC MODELS
• On two definitions of identification
• An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply
• Panel Data and Unobservable Individual Effects
• On the Elimination of Nuisance Parameters
• On the Pooling of Time Series and Cross Section Data
• Semi- and Non-parametric Bayesian Analysis of Duration Models with Dirichlet Priors: A Survey
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