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SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >
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http://hdl.handle.net/10419/56184
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| Title: | | Parametric covariance matrix modeling in Bayesian panel regression  |
| Authors: | | Salabasis, Mickael |
| Issue Date: | | 2004 |
| Series/Report no.: | | SSE/EFI Working Paper Series in Economics and Finance 565 |
| Abstract: | | The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including model uncertainty is described. The needed tools, relying on various Markov chain Monte Carlo techniques, are developed and direct sampling, with and without effect selection, is illustrated. |
| Subjects: | | Bayesian panel regression parametric covariance model selection |
| JEL: | | C11 C33 C63 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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