Robust Bayesian Analysis of a Parameter Change in Linear Regression

K Potzelberger and Wolfgang Polasek

Empirical Economics, 1989, vol. 14, issue 2, 123-37

Abstract: Robust Bayesian analyzes in a conjugate normal framework have been developed by Leamer (1978) and Polasek and Potzelberger (1987). Fixing the prior mean and varying the prior covariance matrix yields a so-called feasible ellipsoid for the posterior mean and robust HPD regions, also called HiFi-regions. This paper considers the application of this approach to gain robust Bayesian inference in case of a parameter change in regression models.

Date: 1989
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