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Search: subject:"Robust prior"
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common time-varying volatility
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forecasting
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multivariate t errors
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outlier-robust prior calibration
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Hartwig, Benny
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Lee, Yoonseok
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Phillips, Peter C.B.
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Hassan, Andrés Ramírez
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Jiménez, Jhonatan Cardona
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014505189
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2
Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny
-
2022
nominal variables. To alleviate this sensitivity, an outlier-
robust
prior
calibration is proposed. …
Persistent link: https://www.econbiz.de/10013482884
Saved in:
3
Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny
-
2022
nominal variables. To alleviate this sensitivity, an outlier-
robust
prior
calibration is proposed. …
Persistent link: https://www.econbiz.de/10013472790
Saved in:
4
What is the effect of sample and prior distributions on a Bayesian autoregressive linear model? An application to piped water consumption
Hassan, Andrés Ramírez
;
Jiménez, Jhonatan Cardona
; …
-
UNIVERSIDAD EAFIT
-
2014
In this paper we analyze the effect of four possible alternatives regarding the prior distributions in a linear model with autoregressive errors to predict piped water consumption: Normal-Gamma, Normal-Scaled Beta two, Studentized-Gamma and Student's t-Scaled Beta two. We show the effects of...
Persistent link: https://www.econbiz.de/10011123737
Saved in:
5
Model Selection in the Presence of Incidental Parameters
Lee, Yoonseok
;
Phillips, Peter C.B.
-
Cowles Foundation for Research in Economics, Yale University
-
2013
Bayes factor based on the integrated likelihood with the
robust
prior
of Arellano and Bonhomme (2009). These model selection …
Persistent link: https://www.econbiz.de/10010895640
Saved in:
6
Model Selection in the Presence of Incidental Parameters
Lee, Yoonseok
;
Phillips, Peter C.B.
-
Center for Policy Research, Maxwell School
-
2013
Bayes factor based on the integrated likelihood with the
robust
prior
of Arellano and Bonhomme (2009). These model selection …
Persistent link: https://www.econbiz.de/10010701001
Saved in:
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