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

Anupma Singh,
Anoop Chaturvedi,

Editor: Shalab Srivastava,

READING THE ARTICLE: You can read the article in portable document (.pdf) format (200813 bytes.)

NOTE: The content of this article is the intellectual property of the authors, who retains all rights to future publication.

This page has been accessed 1194 times since August 22, 2012.

Return to the InterStat Home Page.