Bayesian Estimation of Unknown Regression Error Heteroscedasticity

Material type: 文書・図像類

Author: 千木良, 弘朗ほか

Publisher: Institute of Economic Research, Hitotsubashi University

Publication date: 2007-11

Material Format: Paper

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Note (General)：: October 2007; Revised November 2007 -- CoverNovember 21, 2007 -- Title page21世紀COEプログラム = 21st-Century COE Program...

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This version has been revised. The new version is available at http://hdl.handle.net/10086/16258.

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Summary, etc.：: We propose a Bayesian procedure to estimate heteroscedastic variances of the regression error term, when the form of heteroscedasticity is unknown. In...

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Paper

Material Type: 文書・図像類
Title: Bayesian Estimation of Unknown Regression Error Heteroscedasticity
Author/Editor: 千木良, 弘朗
斯波, 恒正
Author Heading: 千木良, 弘朗チギラ, ヒロアキ
斯波, 恒正シバ, ツネマサ
Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
Publication Date: 2007-11
Publication Date (W3CDTF): 2007-11
Contributor: 社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences
Text Language Code: eng
Subject Heading: Eicker-White HCCM
orthogonal regressors
informative prior pdf's
MCMC
stock return variance
Target Audience: 一般
Note (General): October 2007; Revised November 2007 -- Cover
November 21, 2007 -- Title page
21世紀COEプログラム = 21st-Century COE Program
Revised Version: November 2007
Related Material: This version has been revised. The new version is available at http://hdl.handle.net/10086/16258.
Related Material (URI): URI
http://21coe.ier.hit-u.ac.jp/english/index.html
Periodical Title: Hi-Stat Discussion paper series, No. 221
Continues (URI): HDL
http://hdl.handle.net/10086/16258
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources