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Seemingly unrelated regression equation systems under diffuse stochastic prior information: A recursive analytical approach

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  • Steel, M.F.J.

    (Tilburg University, Center for Economic Research)

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File URL: http://arno.uvt.nl/show.cgi?fid=104674
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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1988-5.

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Date of creation: 1988
Date of revision:
Handle: RePEc:dgr:kubcen:19885

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Web page: http://center.uvt.nl

Related research

Keywords: Statistical Methods;

References

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  1. Dreze, Jacques H., 1977. "Bayesian regression analysis using poly-t densities," Journal of Econometrics, Elsevier, vol. 6(3), pages 329-354, November.
  2. Richard, J. -F. & Tompa, H., 1980. "On the evaluation of poly-t density functions," Journal of Econometrics, Elsevier, vol. 12(3), pages 335-351, April.
  3. Dreze, Jacques H. & Richard, Jean-Francois, 1983. "Bayesian analysis of simultaneous equation systems," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 9, pages 517-598 Elsevier.
  4. 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).
  5. Geweke, John, 1988. "Antithetic acceleration of Monte Carlo integration in Bayesian inference," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 73-89.
  6. Richard, J. F. & Steel, M. F. J., 1988. "Bayesian analysis of systems of seemingly unrelated regression equations under a recursive extended natural conjugate prior density," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 7-37.
  7. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
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Cited by:
  1. Steel, M.F.J., 1989. "Weak exogeneity in misspecified sequential models," Discussion Paper 1989-42, Tilburg University, Center for Economic Research.
  2. Steel, M.F.J., 1989. "A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches," Discussion Paper 1989-8, Tilburg University, Center for Economic Research.

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