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Bayesian reduced rank regression in econometrics

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  • Geweke, John

Abstract

The reduced rank regression model arises repeatedly in theoretical and applied econometrics. To date the only general treatments of this model have been frequentist. This paper develops general methods for Bayesian inference with noninformative reference priors in this model, based on a Markov chain sampling algorithm, and procedures for obtaining predictive odds ratios for regression models with different ranks. These methods are used to obtain evidence on the number of factors in a capital asset pricing model.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 75 (1996)
Issue (Month): 1 (November)
Pages: 121-146

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Handle: RePEc:eee:econom:v:75:y:1996:i:1:p:121-146

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

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  1. Izenman, Alan Julian, 1975. "Reduced-rank regression for the multivariate linear model," Journal of Multivariate Analysis, Elsevier, vol. 5(2), pages 248-264, June.
  2. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(2), pages 385-415, April.
  3. Dreze, Jacques H, 1976. "Bayesian Limited Information Analysis of the Simultaneous Equations Model," Econometrica, Econometric Society, Econometric Society, vol. 44(5), pages 1045-75, September.
  4. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report, Federal Reserve Bank of Minneapolis 148, Federal Reserve Bank of Minneapolis.
  5. Bauwens, L. & Lubrano, M., . "Identification restrictions and posterior densities in cointegrated Gaussian VAR system," CORE Discussion Papers RP -1206, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1317-39, November.
  7. John F. Geweke, 1994. "Bayesian comparison of econometric models," Working Papers 532, Federal Reserve Bank of Minneapolis.
  8. Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 514-551, August.
  9. Gibbons, Michael R. & Ferson, Wayne, 1985. "Testing asset pricing models with changing expectations and an unobservable market portfolio," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(2), pages 217-236, June.
  10. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
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