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Bayesian analysis of systems of seemingly unrelated regression equations under a recursive extended natural conjugate prior density

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  • Richard, J. F.
  • Steel, M. F. J.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 38 (1988)
Issue (Month): 1-2 ()
Pages: 7-37

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Handle: RePEc:eee:econom:v:38:y:1988:i:1-2:p:7-37

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Osiewalski, J. & Steel, M.F.J., 1991. "Bayesian marginal equivalence of elliptical regression models," Discussion Paper 1991-19, Tilburg University, Center for Economic Research.
  2. Steel, M.F.J., 1989. "Weak exogeneity in misspecified sequential models," Discussion Paper 1989-42, Tilburg University, Center for Economic Research.
  3. Marianna Belloc & Ugo Pagano, 2008. "Politics-Business Interaction Paths," Working Papers 109, University of Rome La Sapienza, Department of Public Economics.
  4. Griffiths, W.E., 2001. "Bayesian Inference in the Seemingly Unrelated Regressions Models," Department of Economics - Working Papers Series 793, The University of Melbourne.
  5. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
  6. Steel, M.F.J., 1988. "Seemingly unrelated regression equation systems under diffuse stochastic prior information: A recursive analytical approach," Discussion Paper 1988-5, Tilburg University, Center for Economic Research.
  7. Carmen Fernandez & Eduardo Ley & Mark F.J. Steel, 1998. "Benchmark Priors for Bayesian Model Averaging," Econometrics 9804001, EconWPA, revised 31 Jul 1999.
  8. Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.
  9. W.E. Griffiths & Ma. Rebecca Valenzuela, 2004. "Gibbs Samplers for a Set of Seemingly Unrelated Regressions," Department of Economics - Working Papers Series 912, The University of Melbourne.
  10. Steel, M.F.J., 1991. "Bayesian Inference in Time Series," Papers 9153, Tilburg - Center for Economic Research.

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