Summary
Robust Bayesian analyses in a conjugate normal framework have been developed by Learner (1978) and Polasek and Pötzelberger (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.
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© 1989 Physica-Verlag Heidelberg
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Pötzelberger, K., Polasek, W. (1989). Robust Bayesian Analysis of a Parameter Change in Linear Regression. In: Krämer, W. (eds) Econometrics of Structural Change. Studies in Empirical Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-48412-4_6
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DOI: https://doi.org/10.1007/978-3-642-48412-4_6
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-642-48414-8
Online ISBN: 978-3-642-48412-4
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