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Bayesian Heteroskedasticity-Robust Regression (309727)

Maryclare Griffin, University of Massachusetts Amherst, Department of Mathematics and Statistics 
*Gabriel Durbin Lewis, University of Massachusetts Amherst 

Keywords: Regression, Heteroskedasticity, Robust, Bayesian

We introduce a Bayesian regression method that is robust to heteroskedasticity and nonlinearity of unknown forms, in parallel to frequentist heteroskedasticity-robust methods.