Parameter changes in the multiple regression model with autocorrelated errors : Bayesian analysis

Communications in Statistics - Theory and Methods

Volumn 28, Issue 1, 1999, Pages 137-142

  Chalton, D ^a   Troskie, C G ^b  

^a UNIVERSITY OF THE WESTERN CAPE   (South Africa)

^b UNIVERSITY OF CAPE TOWN   (South Africa)

Author keywords

Autocorrelated errors; Bayesian analysis; Multiple regression; Parameter changes

Indexed keywords

EID: 26844532209     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929908832287     Document Type: Article

References (6)

1. Chalton, D.O. and Troskie, C.G. (1993). "Multiple regression with autocorrelated errors : Bayesian analysis with different priors". South African Statistical Journal, 27, 51-62.
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3. Holbert, D. and Broemeling, L.D. (1977). "Bayesian inference related to shifting sequences and two-phase regression". Commun. Statist., 6, 265-275.
4. Judge, G.G., Griffiths, W.E., Hill, R.C., Lutkepohl, H. and Lee, T.C. (1985). The theory and practice of econometrics. 2nd edition, John Wiley, New York.
5. Salazar, D., Broemeling, L. and Chi, A. (1981). "Parameter changes in a regression model with autocorrelated errors". Commun. Statist. - Theor. Meth., 10, 1751-1758.
6. Zellner, A. and Tiao, G.C. (1964). "Bayesian analysis of the regression model with autocorrelated errors". Journal of the American Statistical Association, 59, 763-778.