Bayesian inference in regression with Pearson disturbances

Mike Tsionas

Economics Letters, 2013, vol. 118, issue 1, 177-181

Abstract: In this paper we propose new estimation techniques in connection with regression models whose errors have distributions which are members of the celebrated Pearson’s system. Efficient MCMC procedures are proposed in the context of likelihood—based inference. The new techniques are applied to four major currencies.

Keywords: Pearson distributions; Likelihood function; Posterior distribution; MCMC; Bayesian inference (search for similar items in EconPapers)
JEL-codes: C11 C46 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:177-181

DOI: 10.1016/j.econlet.2012.10.021

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