Robust HPD Regions in Bayesian Regression Models

Klaus Potzelberger and Wolfgang Polasek

Econometrica, 1991, vol. 59, issue 6, 1581-89

Abstract: A Bayesian analysis of the linear regression model with only parts of the prior distribution specified or a robust Bayesian analysis lead to sets of posterior distributions. E. E. Leamer (1978) describes the region of posterior means for conjugate priors and varying prior covariance matrices. As an extension to Bayesian confidence sets (HPD regions) the authors introduce the concept of HiFi (high fiduciary) regions. The Hifi region is a union of HPD regions and is a tool for describing the dependence of the posterior distribution on the prior covariance. The authors assume that the prior covariance matrix varies in an interval of matrices. Copyright 1991 by The Econometric Society.

Date: 1991
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