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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
2012 (English)Report (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.

Place, publisher, year, edition, pages
Örrbro: Örebro University , 2012. , p. 7
Series
Working Papers, School of Business, ISSN 1403-0586 ; 11/2012
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: 2023-03-01Bibliographically approved

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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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