bayesian Estimation of the Reduced Rank Regression Model without Ordering Restrictions

Rodney Strachan

No 9/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper we have demonstrated the implications of incorrectly normalising the parameters of a reduced rank regression model to achieve global identification, and presented a method for estimating this model without using the ordering restrictions imposed in previous Bayesian and frequentist approaches.

Keywords: COINTEGRATION; BAYESIAN ANALYSIS; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C10 C11 (search for similar items in EconPapers)
Pages: 44 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:msh:ebswps:1998-9

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