Tagged Questions

2
votes
0answers
529 views

Posterior derivation with prior as Normal-Gamma distribution

I am studying Gary Koop's Bayesian Econometrics , it is bit confusing in the beginning. I will reproduce some results from the textbook here in order to smoothly move to my question. For a simple ...
1
vote
1answer
308 views

What is “gaussianity”, and how do you perform gaussianity testing in macroeconomic time-series?

I have several questions regarding the usual gaussianity (broad normality) assumptions in econometrics. Though people often check for normality (with apparently weak tests), I've seen just one example ...
3
votes
1answer
729 views

Violation of normality assumption

I am trying to run an econometric panel data (random effects) model with about 950 observations (so not a small dataset). My data consists of different European public companies and of a few financial ...
3
votes
2answers
138 views

What is the relation between two IIN mean zero random variables?

I have trouble proving the following fact in my econometrics homework. The lecturer said that I should merely look at my statistics books, but I cannot seem to find it anywhere! Thus, sorry if it is ...