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Title:Parametric covariance matrix modeling in Bayesian panel regression PDF Logo
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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