A Bayesian note on competing correlation structures in the dynamic linear regression model

DOI10.1016/0165-1765(92)90131-HMaRDI QIDQ1802080zbMATHFDO

Authors Jacek Osiewalski, M. F. J. Steel

Publication date 30 August 1993

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Bayesian posterior odds approachdynamic linear regression modelserror correlation structures

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 4100407 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• A point optimal test for autoregressive disturbances
• Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods
• Robust Bayesian inference in elliptical regression models
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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