Bayes regression with autoregressive errors. A Gibbs sampling approach

DOI10.1016/0304-4076(93)90046-8zbMath0775.62068OpenAlexW1561308353MaRDI QIDQ1260673

Siddhartha Chib

Publication date: 25 August 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90046-8

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Cites Work

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• Bayes inference in the Tobit censored regression model
• On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative
• Markov chains for exploring posterior distributions. (With discussion)
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• The Calculation of Posterior Distributions by Data Augmentation
• Inference for nonconjugate Bayesian Models using the Gibbs sampler
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• Bayesian Analysis of Binary and Polychotomous Response Data
• Bayesian Analysis of the Regression Model With Autocorrelated Errors

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