Robust Bayesian Analysis of Autoregressive Fixed Effects Panel Data Model
by Anupma Singh and Anoop Chaturvedi.
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.
autoregressive fixed effects panel data model; robust Bayes; ?-contamination class of prior; ML-II posterior density; MCMC algorithm
Anupma Singh, firstname.lastname@example.org
Anoop Chaturvedi, email@example.com
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