EconPapers    
Economics at your fingertips  
 

The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model

Luc Bauwens ()

Annals of Economics and Statistics, 1991, issue 23, 49-64

Abstract: In a Bayesian analysis of the linear regression model, one may have prior information on a subset of the regression coefficients, but one has usually no prior information on the error variance. If one incorporates this kind of information in a naturel conjugate prior density, under certain conditions the posterior mean of the coefficients on which one is informative is equal to the prior mean, and the posterior mean of the coefficients on which one is not informative is equal to a constrained least squares estimator. The value of the posterior covariance matrix is also studied. We discuss and illustrate how to avoid getting posterior results too close to the "pathological" results summarized above.

Date: 1991
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.jstor.org/stable/20075834 (text/html)

Related works:
Working Paper: The "pathology" of the natural conjugate prior density in the regression model (1991)
Working Paper: THE "PATHOLOGY" OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1991:i:23:p:49-64

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Laurent Linnemer ().

 
Page updated 2019-08-10
Handle: RePEc:adr:anecst:y:1991:i:23:p:49-64