comparison of some estimators of bayesian heteroscedastic linear model

Abstract

In order to investigate the asymptotic consistency and efficiency of estimators with normal-gamma double sided heteroscedastic error structure, the study explored full bayesian metropolis hasting , algorithm experiments, an approach of markov chain monte carlo simulation. The study contaminated the model with one component of two sided error strucuture. A metropolis hasting adopted to perform simulation on the marginal posterior distribution of heteroscedastic linear econometric model. Absolute bias and mean squares error criteria were used to evaluate finite properties of the estimators.