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Statistical Methodology Commons

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Selected Works

Selected Works

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Articles 151 - 155 of 155

Full-Text Articles in Statistical Methodology

A Bayesian Approach To Additive Nonparametric Regression, Michael S. Smith, Robert Kohn Dec 1993

A Bayesian Approach To Additive Nonparametric Regression, Michael S. Smith, Robert Kohn

Michael Stanley Smith

This proceedings paper was the first to suggest using a Gaussian g-prior combined with a point mass to undertake Bayesian variable selection in a Gaussian linear regression model. It also was the first to suggest integrating out the regression parameters and variance in closed form, resulting in an efficient Gibbs sampling scheme. The idea was applied to estimate regression functions in an additive model by using a linear basis expansion for each component function in an additive model. The conference proceeding was eventually published in a slightly tighter form in Journal of Econometrics (1996).


Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald Dec 1991

Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald

Douglas G. Steigerwald

I develop adaptive estimators for linear regression with serially correlated errors. The efficiency results hold even when the serial correlation structure is unknown. Simulations indicate that efficiency gains can be substantial with samples of only 50 observations. We apply the method to a study of forward exchange rates.


On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald Dec 1991

On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald

Douglas G. Steigerwald

With only 50 observations, the adaptive estimator produces confidence intervals that are 20 to 50 percent shorter than those produced by GLS procedures. The key feature is that the underlying error density is symmetric. Under asymmetry the interval length is shortened by a smaller amount.


A Course In Econometrics: A Review, Douglas G. Steigerwald Dec 1991

A Course In Econometrics: A Review, Douglas G. Steigerwald

Douglas G. Steigerwald

No abstract provided.


Uncertainty And Policy Agressiveness, Douglas Steigerwald, Roger Craine Dec 1984

Uncertainty And Policy Agressiveness, Douglas Steigerwald, Roger Craine

Douglas G. Steigerwald

How should a decision maker proceed with uncertain knowledge of the decision outcome? We use the unknown coefficient control problem to shed light on the issue.