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Keywords
(1)
bayesian inference
Related Publications
(22)
Introduction to Probability and Statistics from a Bayesian Viewpoint
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Intermediate Statistics and Econometrics: A Comparative Approach
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An Introduction to Bayesian Inference in Econometrics
An Introduction to Bayesian Inference in Econometrics,A. Zellner
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An Introduction to Bayesian Inference in Econometrics
(
Citations: 798
)
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A. Zellner
Published in 1971.
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Citation Context
(187)
...More specifically, assuming a diffuse prior, the posterior distribution of the estimated VAR is factorized as the product of an inverse Wishart and, conditional on the variance–covariance matrix, a multivariate normal distribution where β is the vector of VAR coefficients, Σ is the variance–covariance matrix of the residuals, the variables with a hat denote the corresponding estimates,
X
is the matrix of regressors,
n
is the sample size and
m
is the number of estimated parameters (Zellner
1971
)...
Ricardo M. Sousa
.
What is the impact of wealth shocks on asset allocation?
...From Zellner (
1971
), the predictive distribution of a future vector
D. J. de Waal
,
et al.
Modelling high river flows and Southern Oscillation Index jointly
...The distribution function can be transformed and rewritten in a simple linear regression form which is in the variance stabilizing transformation BoxCox form for regression (Zellner,
1996
)...
J. Martin Van Zyl
.
A Median Regression Model to Estimate the Parameters of the ThreePara...
...This approach reduces to a general triangular system (Zellner,
1971
) for complete data sets...
Jorge E. Araña
,
et al.
Scaleperception bias in the valuation of environmental risks
...
Zellner (1971)
, pp. 233236 and, for a more recent application, Garratt, Koop, Mise & Vahey (2008)...
Ida Wolden Bache
,
et al.
Combining VAR and DSGE forecast densities
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Citations
(798)
What is the impact of wealth shocks on asset allocation?
(
Citations: 1
)
Ricardo M. Sousa
Journal:
Quantitative Finance  QUANT FINANC
, vol. aheadofp, no. aheadofp, pp. 116, 2012
A Bayesian estimation of lag lengths in distributed lag models
Carlos Alberto Ribeiro Diniz
,
Camila Pedrozo Rodrigues
,
Jose Galvão Leite
,
Rubiane Maria Pires
Journal:
Journal of Statistical Computation and Simulation  J STAT COMPUT SIM
, vol. aheadofp, no. aheadofp, pp. 113, 2012
Modelling high river flows and Southern Oscillation Index jointly
D. J. de Waal
,
A. Verster
Journal:
Structure and Infrastructure Engineering  STRUCT INFRASTRUCT ENG
, vol. 8, no. 4, pp. 367372, 2012
A Median Regression Model to Estimate the Parameters of the ThreeParameter Generalized Pareto Distribution
J. Martin Van Zyl
Journal:
Communications in Statisticssimulation and Computation  COMMUN STATISTSIMULAT COMPUT
, vol. 41, no. 4, pp. 544553, 2012
Scaleperception bias in the valuation of environmental risks
Jorge E. Araña
,
Carmelo J. León
Journal:
Applied Economics  APPL ECON
, vol. 44, no. 20, pp. 26072617, 2012