Econometrica: Mar 1976, Volume 44, Issue 2
Discriminating among Linear Models with Interdependent Disturbances
Kenneth M. Gaver, Martin S. GeiselA 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.
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