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Conditional posteriors for the reduced rank regression model
Örebro University, Örebro University School of Business.ORCID iD: 0000-0003-0203-4688
(English)Manuscript (preprint) (Other academic)
Abstract [en]

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 [en]
Gibbs sampling; full conditional posterior
National Category
Economics Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-30206OAI: oai:DiVA.org:oru-30206DiVA, id: diva2:640474
Funder
Riksbankens Jubileumsfond, P09-0972:1-EAvailable from: 2013-08-13 Created: 2013-08-13 Last updated: 2017-10-17Bibliographically approved

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http://econpapers.repec.org/RePEc:hhs:oruesi:2012_011

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Karlsson, Sune

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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