Robust Bayesian inference for seemingly unrelated regressions with elliptical errors

Journal of Multivariate Analysis

Volumn 83, Issue 2, 2002, Pages 409-414

  Ng, Vee Ming ^a  

^a MURDOCH UNIVERSITY   (Australia)

Author keywords

Elliptical contoured distributions; Posterior and predictive distributions; Seemingly unrelated regression models

Indexed keywords

EID: 0036859477     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1006/jmva.2001.2054     Document Type: Article

References (11)

1. T. W. Anderson and K. T. Fang, Inference in multivariate elliptically contoured distribution based on maximum likelihood, in "Statistical Inference in Elliptically Contoured and Related Distribution" (K. T. Fang and T. W. Anderson, Eds.), pp. 201-216, Allerton Press, New York, 1990.
2. G. E. P. Box and G. C. Tiao, "Bayesian Inference in Statistical Analysis," Addison-Wesley, Reading, MA, 1973.
3. S. Chib, R. C. Tiwari, and S. R. Jammalamadaka, Bayes prediction in regressions with elliptical errors, J. Econometrics 38 (1988), 349-360.
4. D. A. S. Fraser and K. W. Ng, Multivariate regression analysis with spherical error, in "Multivariate Analysis-V" (P. R. Krishnaiah, Ed.), pp. 369-386, North-Holland, New York, 1980.
5. J. Kowalski, J. R. Mendoza-Blanco, X. M. Tu, and L. J. Gleser, On the difdifference in inference and prediction between the joint and independent t-error models for seemingly unrelated regressions, Comm. Statist. Theory Methods 28 (1999), 2119-2140.
6. V. M. Ng, A note on predictive inference for multivariate elliptically contoured distributions, Comm. Statist. Theory Methods 29 (2000), 477-483.
7. D. F. Percy, Prediction for the seemingly unrelated regressions, J. R. Soc. Statist. Ser. B 54 (1992), 243-252.
8. V. K. Srivastava and D. E. A. Giles, "Seemingly Unrelated Regression Equations Models," Dekker, New York, 1987.
9. B. C. Sutradhar and M. M. Ali, Estimation of the parameters of a regression model with a multivariate-t error variable, Comm. Statist. Theory Methods 15 (1986), 429-450.
10. A. Zellner, "An Introduction to Bayesian Inference in Econometrics," Wiley, New York, 1971.
11. A. Zellner, Bayesian and non-Bayesian analysis of the regression model with multivariate Student-t error terms, J. Amer. Statist. Assoc. 71 (1976), 400-405.