Conditional posteriors for the reduced rank regression model
Sune Karlsson ()
No 2012:11, Working Papers from Örebro University, School of Business
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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
https://www.oru.se/globalassets/oru-sv/institution ... s2012/wp-11-2012.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hhs:oruesi:2012_011
Access Statistics for this paper
More papers in Working Papers from Örebro University, School of Business Örebro University School of Business, SE - 701 82 ÖREBRO, Sweden. Contact information at EDIRC.
Series data maintained by ().