A Bayesian procedure for comparing linear models with non-scalar covariance matrices is developed. For the case of first order auto-regressive disturbances, an approximate expression for the error in the posterior odds due to ignoring the serial correlation is given, and it's accuracy is investigated via sampling experiments.
MLA
Gaver, Kenneth M., and Martin S. Geisel. “Discriminating among Linear Models with Interdependent Disturbances.” Econometrica, vol. 44, .no 2, Econometric Society, 1976, pp. 337-343, https://www.jstor.org/stable/1912728
Chicago
Gaver, Kenneth M., and Martin S. Geisel. “Discriminating among Linear Models with Interdependent Disturbances.” Econometrica, 44, .no 2, (Econometric Society: 1976), 337-343. https://www.jstor.org/stable/1912728
APA
Gaver, K. M., & Geisel, M. S. (1976). Discriminating among Linear Models with Interdependent Disturbances. Econometrica, 44(2), 337-343. https://www.jstor.org/stable/1912728
The Executive Committee of the Econometric Society has approved an increase in the submission fees for papers in Econometrica. Starting January 1, 2025, the fee for new submissions to Econometrica will be US$125 for regular members and US$50 for student members.
By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device. Cookies are used to optimize your experience and anonymously analyze website performance and traffic.
