The DOI matches its Crossref record; 42 of the 42 references it cites were found in a registry or an index.
Bayesian treatment of the independent student-t linear model
Abstract
This article takes up methods for Bayesian inference in a linear model in which the disturbances are independent and have identical Student-t distributions. It exploits the equivalence of the Student-t distribution and an appropriate scale mixture of normals, and uses a Gibbs sampler to perform the computations. The new method is applied to some well-known macroeconomic time series. It is found that posterior odds ratios favour the independent Student-t linear model over the normal linear model, and that the posterior odds ratio in favour of difference stationarity over trend stationarity is often substantially less in the favoured Student-t models.
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Cites
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Journal of the American Statistical Association
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Self-citationBayesian Analysis of Binary and Polychotomous Response Data
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Egger, P., & Larch, M. (2008) · Journal of International Economics · doi:10.1016/j.jinteco.2008.08.003 · Cited by 505
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Metadata
- Authors
- Geweke, J.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 1993-12
- Volume
- 8
- Issue
- S1
- Pages
- S19-S40
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W2098665527
- Cited by
- 508
- References
- 42
- FWCI
- 3.24
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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