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Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior

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  • Chao, J. C.
  • Phillips, P. C. B.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3VNPWD0-3/2/9bfd57531f878a7e24fddd0b3ee596e6
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 87 (1998)
Issue (Month): 1 (August)
Pages: 49-86

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Handle: RePEc:eee:econom:v:87:y:1998:i:1:p:49-86

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

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References

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  1. Peter C.B. Phillips, 1982. "The Exact Distribution of LIML: I," Cowles Foundation Discussion Papers 658, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation for Research in Economics, Yale University.
  3. Mariano, Roberto S, 1972. "The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators," Econometrica, Econometric Society, vol. 40(4), pages 643-52, July.
  4. Maddala, G S, 1976. "Weak Priors and Sharp Posteriors in Simultaneous Equation Models," Econometrica, Econometric Society, vol. 44(2), pages 345-51, March.
  5. 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.
  6. ZELLNER, Arnold & BAUWENS, Luc & VAN DIJK, Herman K., . "Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods," CORE Discussion Papers RP -796, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. In Choi & Peter C.B. Phillips, 1989. "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations," Cowles Foundation Discussion Papers 929, Cowles Foundation for Research in Economics, Yale University.
  8. Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-49, January.
  9. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
  10. Poirier, Dale, 1994. "Jeffreys' prior for logit models," Journal of Econometrics, Elsevier, vol. 63(2), pages 327-339, August.
  11. Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March.
  12. Zellner, Arnold, 1970. "Estimation of Regression Relationships Containing Unobservable Independent Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(3), pages 441-54, October.
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