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Bayesian Inference in the Seemingly Unrelated Regressions Models

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Author Info
Griffiths, W.E.

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Abstract

The objective of this chapter is to provide a practical guide to computer-aided Bayesian inference for a variety of problems that arise in applications of the SUR model. We describe examples of problems, models and algorithms that have been placed within a general framework in the chapter by Geweke et al (this volume); our chapter can be viewed as complimentary to that chapter. The model is described in Section II; the joint, conditional and marginal posterior density functions that result from a noninformative prior are derived. In Section III we describe how to use sample draws of parameters from their posterior densities to estimate posterior quantities of interest; two Gibbs sampling algorithms and a Metropolis-Hastings algorithm are given.

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Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 793.

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Length: 41 pages
Date of creation: 2001
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Handle: RePEc:mlb:wpaper:793

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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.:

  1. Srivastava, V. K. & Dwivedi, T. D., 1979. "Estimation of seemingly unrelated regression equations : A brief survey," Journal of Econometrics, Elsevier, vol. 10(1), pages 15-32, April. [Downloadable!] (restricted)
  2. Mark Steel, 1992. "Posterior analysis of restricted seemingly unrelated regression equation models: a recursive analytical approach," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 129-142. [Downloadable!] (restricted)
  3. Chotikapanich, D. & Griffiths, W.E. & Skeels, C.L., 2001. "Sample Size Requirements for Estimation in SUR Models," Department of Economics - Working Papers Series 794, The University of Melbourne. [Downloadable!]
  4. Griffiths, William E & Chotikapanich, Duangkamon, 1997. "Bayesian Methodology for Imposing Inequality Constraints on a Linear Expenditure System with Demographic Factors," Australian Economic Papers, Blackwell Publishing, vol. 36(69), pages 321-41, December.
  5. Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September. [Downloadable!] (restricted)
    Other versions:
  6. Smith, Michael & Kohn, Robert, 2000. "Nonparametric seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 98(2), pages 257-281, October. [Downloadable!] (restricted)
    Other versions:
  7. 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. [Downloadable!] (restricted)
  8. 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. [Downloadable!] (restricted)
  9. Kai, Li, 1998. "Bayesian inference in a simultaneous equation model with limited dependent variables," Journal of Econometrics, Elsevier, vol. 85(2), pages 387-400, August. [Downloadable!] (restricted)
  10. 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. [Downloadable!] (restricted)
  11. Denzil Fiebig & Jae Kim, 2000. "Estimation and inference in sur models when the number of equations is large," Econometric Reviews, Taylor and Francis Journals, vol. 19(1), pages 105-130. [Downloadable!] (restricted)
  12. repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
  13. W. E. Griffiths, 1999. "Estimating consumer surplus comments on "using simulation methods for bayesian econometric models: inference development and communication"," Econometric Reviews, Taylor and Francis Journals, vol. 18(1), pages 75-87. [Downloadable!] (restricted)
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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.)

  1. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Yiannis Kamarianakis, 2006. "Hierarchical Bayesian Modeling For Spatial Time Series: An Alternative Approach To Spatial Sur," Working Papers 0605, University of Crete, Department of Economics. [Downloadable!]
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