comparison of some estimators of bayesian heteroscedastic linear model
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Date
2016
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Publisher
ABACUS, Mathematical Association of Nigeria
Abstract
In order to investigate the asymptotic consistency and efficiency of estimators with normal-gamma double sided heteroscedastic error structure, the study explored full bayesian metropolis hasting , algorithm experiments, an approach of markov chain monte carlo simulation. The study contaminated the model with one component of two sided error strucuture. A metropolis hasting adopted to perform simulation on the marginal posterior distribution of heteroscedastic linear econometric model. Absolute bias and mean squares error criteria were used to evaluate finite properties of the estimators.
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Keywords
Markov chain monte carlo, hetroscedasticity, bayesian inference
Citation
Oloyede I. (2016);comparison of some estimators of bayesian heteroscedastic linear model Abacus pp414-423 ,No. 2