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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 11/2012
- Classification
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Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Forecasting Models; Simulation Methods
- Subject
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Gibbs sampling
full conditional posterior
- Event
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Geistige Schöpfung
- (who)
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Karlsson, Sune
- Event
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Veröffentlichung
- (who)
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Örebro University School of Business
- (where)
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Örebro
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Karlsson, Sune
- Örebro University School of Business
Time of origin
- 2012
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