Equality Restricted Random Variables: Densities and Sampling Algorithms

This file is part of IDEAS, which uses RePEc data

Equality Restricted Random Variables: Densities and Sampling Algorithms

Author Info

Kleibergen, F.

Additional information is available for the following registered author(s):

Frank Kleibergen

Abstract

Many common statistical models can be specified as linear models with restrictions imposed on the parameters. A large amount of these models impose restrictions which do not allow for the analytical construction of the probability density function (pdf) of the parameters given the restrictions. This is often implicitly assumed which leads to an inconsistency as the pdf of the parameters of the linear specification under the imposed restrictions is then not tested within the assumed pdf of the unrestricted linear specification. The paper shows how these restirctions need to be incorporated by constructing the pdfs incorporating the restrictions and algorithms to sample from these pdfs.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number 9662/a.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 27 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:erroem:9662/a

Contact details of provider:
Postal: ERASMUS UNIVERSITY OF ROTTERDAM, ECONOMETRIC INSTITUTE, ROTTERDAM P.O. BOX 1738 THE NETHERLANDS.
Phone: 010 - 40 81278
Fax: 010 - 40 89162
Web page: http://www.econometric-institute.org/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).

Other versions of this item:

Paper
- Kleibergen, Frank, 1996. "Equality restricted random variables: densities and sampling algorithms," Econometric Institute Report 36, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Frank Kleibergen, 1997. "Equality Restricted Random Variables: Densities and Sampling Algorithms," Tinbergen Institute Discussion Papers 97-005/4, Tinbergen Institute.

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Existence and Stability Conditions of Equilibrium

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society. [Downloadable!]
Kajal Lahiri & Chuanming Gao, . "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Discussion Papers 01-15, State University of New York at Albany, Department of Economics. [Downloadable!]
Chua, C.L. & Griffiths, W.E. & O'Donnell, C.J., 2001. "Bayesian Model Averaging in Consumer Demand Systems with Inequality Constraints," Department of Economics - Working Papers Series 806, The University of Melbourne. [Downloadable!]
Kleibergen, Frank & Dijk, Herman K. van, 1996. "Bayesian simultaneous equations analysis using reduced rank structures," Econometric Institute Report 47, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- Kleibergen, F. & Van Dijk, H.K., 1997. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Papers 9714/a, Erasmus University of Rotterdam - Econometric Institute.
- Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute. [Downloadable!]
- Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(06), pages 701-743, December. [Downloadable!]
Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- Frank Kleibergen & Richard Paap, 1997. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Tinbergen Institute Discussion Papers 97-007/4, Tinbergen Institute.

Statistics

Access and download statistics

Did you know? About five million pdf files are downloaded through RePEc every year.

This page was last updated on 2008-7-29.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.