## Bayesian Treatment of the Independent Student-t Linear Model (1993)

Venue: | JOURNAL OF APPLIED ECONOMETRICS |

Citations: | 74 - 2 self |

### BibTeX

@ARTICLE{Geweke93bayesiantreatment,

author = {John Geweke},

title = {Bayesian Treatment of the Independent Student-t Linear Model},

journal = {JOURNAL OF APPLIED ECONOMETRICS},

year = {1993},

volume = {8},

pages = {19--40}

}

### Years of Citing Articles

### OpenURL

### Abstract

This article takes up methods for Bayesian inference in a linear model in which the disturbances are independent and have identical Student-t distributions. It exploits the equivalence of the Student-t distribution and an appropriate scale mixture of normals, and uses a Gibbs sampler to perform the computations. The new method is applied to some well-known macroeconomic time series. It is found that posterior odds ratios favor the independent Student-t linear model over the normal linear model, and that the posterior odds ratio in favor of difference stationarity over trend stationarity is often substantially less in the favored Student-t models.