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Driving innovations in manufacturing: Open Access research from DMEM

Strathprints makes available Open Access scholarly outputs by Strathclyde's Department of Design, Manufacture & Engineering Management (DMEM).

Centred on the vision of 'Delivering Total Engineering', DMEM is a centre for excellence in the processes, systems and technologies needed to support and enable engineering from concept to remanufacture. From user-centred design to sustainable design, from manufacturing operations to remanufacturing, from advanced materials research to systems engineering.

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Bayesian variants of some classical semiparametric regression techniques

Koop, G.M. and Poirier, D. (2004) Bayesian variants of some classical semiparametric regression techniques. Journal of Econometrics, 123 (2). pp. 259-282. ISSN 0304-4076

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Abstract

This paper develops new Bayesian methods for semiparametric inference in the partial linear Normal regression model: y=zβ+f(x)+var epsilon where f(.) is an unknown function. These methods draw solely on the Normal linear regression model with natural conjugate prior. Hence, posterior results are available which do not suffer from some problems which plague the existing literature such as computational complexity. Methods for testing parametric regression models against semiparametric alternatives are developed. We discuss how these methods can, at some cost in terms of computational complexity, be extended to other models (e.g. qualitative choice models or those involving censoring or truncation) and provide precise details for a semiparametric probit model. We show how the assumption of Normal errors can easily be relaxed.