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Conditional posteriors for the reduced rank regression model

Sune Karlsson ()

No 2012:11, Working Papers from Örebro University, School of Business

Abstract: 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.

Keywords: Gibbs sampling; full conditional posterior (search for similar items in EconPapers)
JEL-codes: C11 C30 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2012-05-27
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