Bayesian Analysis of Regression Error Terms

Abstract

Properties of realized regression error terms are studied wherein they are treated as unknown parameters. Posterior distributions for individual realized error terms and for linear and certain quadratic functions of them are derived. Posterior moments of measures of skewness, kurtosis, autocovariance, and autocorrelation, defined in terms of the realized errors, are presented, and selected uses of these results indicated in characterizing properties of realized error terms and in suggesting possible departures from standard assumptions.