Arbeitspapier
Conditional posteriors for the reduced rank regression model
The multivariate reduced rank regression model plays an important role in econo- metrics. Examples include co-integration analysis and models with a factor struc- ture. Geweke (1996) provided the foundations for a Bayesian analysis of this model. Unfortunately several of the full conditional posterior distributions, which forms the basis for constructing a Gibbs sampler for the poster distribution, given by Geweke contains errors. This paper provides correct full conditional posteriors for the re- duced rank regression model under the prior distributions considered by Geweke.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 11/2012
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Forecasting Models; Simulation Methods
- Thema
-
Gibbs sampling
full conditional posterior
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Karlsson, Sune
- Ereignis
-
Veröffentlichung
- (wer)
-
Örebro University School of Business
- (wo)
-
Örebro
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Karlsson, Sune
- Örebro University School of Business
Entstanden
- 2012
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