Bayesian reduced rank regression in econometrics

John Geweke

No 540, Working Papers from Federal Reserve Bank of Minneapolis

Abstract: The reduced rank regression model arises repeatedly in theoretical and applied econometrics. To date the only general treatments of this model have been frequentist. This paper develops general methods for Bayesian inference with noninformative reference priors in this model, based on a Markov chain sampling algorithm, and procedures for obtaining predictive odds ratios for regression models with different ranks. These methods are used to obtain evidence on the number of factors in a capital asset pricing model.

Keywords: Econometrics (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (1)

Published in Journal of Econometrics (Vol. 75, No. 1, November 1996, pp. 121-146)

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Journal Article: Bayesian reduced rank regression in econometrics (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmwp:540

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