Estimation of Systematic Risk Using Bayesian Analysis with Hierarchical and Non-Normal Priors* *We would like to thank Bill Griffiths for numerous suggestions which improved the paper. Thanks are also due to an anonymous referee, Paul Newbold, Sidhartha Chib and Kim Sawyer for helpful comments and Pin Ng for drawing the figures. Earlier versions of this paper were presented at a Bayesian Conference in Econometrics and the Sixth World Congress of the Econometric Society. Responsibility for any errors and omissions is naturally solely ours. Financial support from the Bureau of Economic and Business Research and the Research Board of the University of Illinois is gratefully acknowledged.

Anil k. Bera, José a.f. Machado

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Original languageEnglish
Title of host publicationContributions to Economic Analysis
Publication statusPublished - 1992

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