Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox

DOI10.1016/j.jeconom.2003.12.009zbMath1085.62030OpenAlexW2122721228MaRDI QIDQ1886282

Frank Kleibergen

Publication date: 18 November 2004

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.009

zbMATH Keywords

CointegrationARMABorel-Kolmogorov paradoxConditional densitiesPrior and posterior (odds ratios)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15) Foundations and philosophical topics in statistics (62A01)

Related Items (2)

Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data ⋮ An encompassing prior generalization of the Savage-Dickey density ratio

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