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How to overcome the Jeffreys-Lindleys paradox for invariant Bayesian inference in regression models

Kleibergen, Frank - 2001

Persistent link: https://www.econbiz.de/10001601277

[Rezension von: Bauwens, L., ...,:: Bayesian inference in dynamic econometric models]

Kleibergen, Frank - In: De economist : Netherlands economic review ; quarterly … 148 (2000) 5, pp. 701-702

Persistent link: https://www.econbiz.de/10001563784

How to overcome the Jeffreys-Lindleys paradox for invariant Bayesian inference in regression models

Kleibergen, Frank - 2001

We obtain invariant expressions for prior probabilities and priors onthe parameters of nested regression models that are induced by aprior on the parameters of an encompassing linear regression model.The invariance is with respect to specifications that satisfy anecessary set of assumptions....

Persistent link: https://www.econbiz.de/10011317455

Nonstationarity in GARCH models : a Bayesian analysis

Kleibergen, Frank; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000122477

Bayesian and classical approaches to instrumental variable regression

Kleibergen, Frank; Zivot, Eric - In: Journal of econometrics 114 (2003) 1, pp. 29-72

Persistent link: https://www.econbiz.de/10001738916

Priors, posteriors and bayes factors for a Bayesian analysis of cointegration

Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 111 (2002) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10001715745

Identification issues in limited-information Bayesian analysis of structural macroeconomic models

Kleibergen, Frank; Mavroeidis, Sophocles - In: Journal of applied econometrics 29 (2014) 7, pp. 1183-1209

Persistent link: https://www.econbiz.de/10010492685