Robust Bayesian Analysis of Autoregressive Fixed Effects Panel Data Model

by Anupma Singh and Anoop Chaturvedi.

Abstract: The paper presents robust Bayesian analysis of Autoregressive Fixed Effects Panel Data Model. An ?-contamination class of prior distributions for the parameters of the model, which is the mixture of a natural conjugate base prior and a contamination class of natural conjugate priors, has been considered. The ML-II posterior densities and MCMC algorithm has been given for evaluating marginal posterior densities and Bayes estimators.

Key Words: autoregressive fixed effects panel data model; robust Bayes; ?-contamination class of prior; ML-II posterior density; MCMC algorithm

Authors:
Anupma Singh, anupmasingh26@gmail.com
Anoop Chaturvedi, anoopchaturv@gmail.com

Editor: Shalab Srivastava,shalab@iitk.ac.in

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