期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2010
期号：4
页码：39-47
语种：English
出版社：Polska Akademia Nauk
摘要：The paper is devoted to discussing consequences of the so-called Frisch- Waugh Theorem to posterior inference and Bayesian model comparison. We adopt a generalised normal linear regression framework and weaken its assumptions in order to cover non-normal, jointly elliptical sampling distributions, autoregressive specifications, additional nuisance parameters and multi-equation SURE or VAR models. The main result is that inference based on the original full Bayesian model can be obtained using transformed data and reduced parameter spaces, provided the prior density for scale or precision parameters is appropriately modified.
关键词：Bayesian inference; regression models; SURE models; VAR
