Estimation of Regression Disturbances Based on Minimum Message Length

M.R. Laskar and Maxwell King

No 6/96, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.

Keywords: EVALUATION; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: C13 C15 C81 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1996
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