Regression modelEconometrics / time series

Bayesian Weighted Least Squares (Bayesian WLS)

Bayesian Weighted Least Squares combines the classical WLS weighting scheme — which downweights observations with high error variance — with Bayesian prior distributions over the regression coefficients and error variance. The result is a posterior distribution that reflects both the data likelihood and prior beliefs, providing full uncertainty quantification in heteroscedastic settings.

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Sources

  1. Zellner, A. (1971). An Introduction to Bayesian Inference in Econometrics. Wiley, New York. ISBN: 978-0471169376
  2. Koop, G. (2003). Bayesian Econometrics. Wiley, Chichester. ISBN: 978-0470845677

Related methods

ScholarGateBayesian WLS (Bayesian Weighted Least Squares). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/bayesian-wls