Bayesian Multivariate Skewed Regression Modeling with an Application to Firm Size

In this chapter, we study the application of Bayesian multivariate linear regression models, where the errors have skewed distributions belonging to one of two parametric classes. In particular, we apply the multivariate skewed distributions as defined by Ferreira and Steel (2003), henceforth denoted by FS, and by Sahu, Dey, and Branco (2003), henceforth denoted by SDB. The resulting regression models are employed in a study on firm size.