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| Author: | Zellner, A. |
| Title: | Models, prior information, and Bayesian analysis |
| Journal: | Journal of Econometrics
1996 : NOV, VOL. 75:1, p. 51-68 |
| Index terms: | ECONOMETRICS ECONOMICS MODELS |
| Language: | eng |
| Abstract: | Formulation of models for observations and prior densities for their parameters is an important activity in many sciences. In the present paper, after a discussion of this area of activity, entropy-based methods are employed to derive many central econometric and statistical models and noninformative and informative prior densities for their parameters in an explicit, reproducible manner. Examples are provided to illustrate the general procedures. In particular, maxent is employed to produce linear and nonlinear regression and autoregression models. |
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