164
Views
0
CrossRef citations to date
0
Altmetric
REGRESSION ANALYSIS

Bayesian Inference in Generalized Error and Generalized Student-t Regression Models

Pages 388-407 | Received 24 Sep 2006, Accepted 13 Apr 2007, Published online: 30 Jan 2008

References

  • Box , G. E. P. , Tiao , G. C. ( 1962 ). A further look at robustness via Bayes' theorem . Biometrica 49 : 419 – 432 .
  • Box , G. E. P. , Tiao , G. C. ( 1973 ). Bayesian Inference in Statistical Analysis . New York : Wiley .
  • Butler , R. J. , McDonald , J. B. , Nelson , R. D. , White , S. B. ( 1990 ). Robust and partially adaptive estimation of regression models . Rev. Econ. Statist. 72 : 321 – 326 .
  • Damien , P. , Wakefield , J. , Walker , S. ( 1999 ). Gibbs sampling for Bayesian non-conjugate hierarchical models by using auxiliary variables . J. Roy. Statist. Soc. B 61 : 331 – 344 .
  • Gelfand , A. E. , Smith , A. F. M. ( 1990 ). Sampling based approaches to calculating marginal densities . J. Amer. Statist. Assoc. 85 : 398 – 409 .
  • Geweke , J. ( 1993 ). Bayesian treatment of the independent Student-t linear model . J. Appl. Econometrics 8 : S19 – S40 .
  • Geweke , J. ( 1994 ). Priors for macroeconomic time series and their application . Econometric Theor. 10 : 609 – 632 . Technical Appendix in the working paper version with the same title, Institute for Empirical Macroeconomics Discussion Paper No. 64, 1992, Federal Reserve Bank of Minneapolis .
  • Gourieroux , C. , Monfort , A. , Renault , E. ( 1993 ). Indirect inference . J. Appl. Econometrics 8 : 85 – 118 .
  • Hogg , R. V. , Klugman , S. A. ( 1983 ). On the estimation of long-tailed skewed distributions with actuarial data . J. Econometrics 23 : 91 – 102 .
  • Johnson , N. L. , Kotz , S. , Balakrishnan , N. (1994). Distributions in Statistics: Continuous Univariate Distributions . Vol. 2 . New York : Wiley.
  • McDonald , J. B. ( 1984 ). Some generalized functions for the size distribution of income . Econometrica 52 : 647 – 663 .
  • McDonald , J. B. ( 1989 ). Partially adaptive estimation of ARMA time series models . Int. J. Forecasting 5 : 217 – 230 .
  • McDonald , J. B. ( 1991 ). Parametric models for partially adaptive estimation with skewed and leptokurtic residuals . Econ. Lett. 37 : 237 – 278 .
  • McDonald , J. B. , Butler , R. J. ( 1987 ). Some generalized mixture distributions with an application to employment duration . Rev. Econ. Statist. 69 : 232 – 240 .
  • McDonald , J. B. , Newey , W. K. ( 1988 ). Partially adaptive estimation of regression models via the generalized t distribution . Econometric Theor. 4 : 428 – 457 .
  • McDonald , J. B. , Nelson , R. D. ( 1989 ). Alternative beta estimation for the market model using partially adaptive techniques . Commun. Statist. Theor. Meth. 18 : 4039 – 4058 .
  • Roberts , G. O. , Smith , A. F. M. ( 1994 ). Simple conditions for the convergence of the Gibbs sampler and metropolis–Hastings algorithms . Stochastic Process. Applic. 49 : 207 – 216 .
  • Tanner , M. A. , Wong , W.-H. ( 1987 ). The calculation of posterior distributions by data augmentation . J. Amer. Statist. Assoc. 82 : 528 – 550 .
  • Tiku , M. L. , Suresh , R. P. ( 1992 ). A new method of estimating for location and scale parameters . J. Statist. Plann. Infer. 30 : 281 – 292 .
  • Vaughan , D. C. ( 1992 ). On the Tiku-Suresh method of estimation . Commun. Statist. Theor. Meth. 21 : 451 – 469 .
  • Verdinelli , I. , Wasserman , L. ( 1995 ). Computing Bayes factors using a generalization of the savage-Dickey density ratio . J. Amer. Statist. Assoc. 90 : 614 – 618 .
  • Zeckhauser , R. , Thompson , M. ( 1970 ). Linear regression with non-normal error terms . Rev. Econ. Statist. 52 : 280 – 286 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.