Small samples and collateral information. An application of the hyperparameter model

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

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A Note on Error Components Models
A Simple Test for Heteroscedasticity and Random Coefficient Variation
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
Bayesian and Non-Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models
ESTIMATING MULTIPLE REGRESSIONS IN m GROUPS: A CROSS‐VALIDATION STUDY
ESTIMATION OF A FUNCTIONAL RELATIONSHIP
Efficient Inference in a Random Coefficient Regression Model
Error Components and Seemingly Unrelated Regressions
Estimation of a dynamic demand function for gasoline with different schemes of parameter variation
On posterior joint and marginal modes
On the Distribution of the Likelihood Ratio
On the Pooling of Time Series and Cross Section Data
Simultaneous Estimation of Parameters in Different Linear Models and Applications to Biometric Problems
The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models
The Use of Error Components Models in Combining Cross Section with Time Series Data

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