A Bayesian approach to time-varying cross-sectional regression models

DOI10.1016/0304-4076(81)90099-3MaRDI QIDQ1152845zbMATH OpenOpenAlexFDO

Authors L.-M. Liu, Dominique M. Hanssens

Publication date 1981

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

Full work available at URL https://doi.org/10.1016/0304-4076(81)90099-3

zbMATH Keywords

estimationregression modelsstate space modelsBayesian approachprice elasticitiestime-varying cross-sectional regression models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3748409 (Why is no real title available?)
• A recursive approach to parameter estimation in regression and time series models
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• Analysis of correlated random effects: linear model with two random components
• Bayesian Estimation of Means for the Random Effect Model
• Computation of the exact likelihood function of multivariate moving average models
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
• On posterior joint and marginal modes
• Random coefficient first-order autoregressive models
• Some Estimators for a Linear Model with Random Coefficients
• Symmetric decmposition of positive definite band matrices
• The Estimation of Stationary Stochastic Regression Parameters Reexamined
• The likelihood function of stationary autoregressive-moving average models

Cited in

(1)

• A Gibbs sampling approach to estimation and prediction of time-varying-parameter models.

Describes a project that uses

Uses Software

• LINPACK

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