Robust bayesian inference in empirical regression models

Osiewalski, Jacek; Steel, Mark F.J.

Publication:
Robust bayesian inference in empirical regression models

dc.affiliation.dpto	UC3M. Departamento de Economía	es
dc.contributor.author	Osiewalski, Jacek
dc.contributor.author	Steel, Mark F.J.
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned	2008-08-19T11:05:54Z
dc.date.available	2008-08-19T11:05:54Z
dc.date.issued	1991-11
dc.description.abstract	Broadening the stochastic assumptions on the error terms of regression models was prompted by the analysis of linear multivariate t models in Zellner (1976). We consider a possible non-linear regression model under any multivariate elliptical data density, and examine Bayesian posterior and productive results. The latter are shown to be robust with respect to the specific choice of a sampling density within this elliptical class. In particular, sufficient conditions for such model robustness are that we single out a precision factor T2 on which we can specify an improper prior density. Apart from the posterior distribution of this nuisance parameter T 2, the entire analysis will then be completely unaffected by departures from Normality. Similar results hold in finite mixtures of such elliptical densities, which can be used to average out specification uncertainty.
dc.format.mimetype	application/pdf
dc.identifier.issn	2340-5031
dc.identifier.uri	https://hdl.handle.net/10016/2814
dc.language.iso	eng
dc.relation.ispartofseries	Working Papers
dc.relation.ispartofseries	1991-27
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Economía
dc.subject.other	Multivariate elliptical data densities
dc.subject.other	Model robustness
dc.subject.other	Improper priors
dc.subject.other	Finite mixtures
dc.title	Robust bayesian inference in empirical regression models
dc.type	working paper	*
dspace.entity.type	Publication