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Gibbs Samplers for a Set of Seemingly Unrelated Regressions

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Author Info
W.E. Griffiths
Ma. Rebecca Valenzuela

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Abstract

Bayesian estimation of a collection of seemingly unrelated regressions, referred to as a ‘set of seemingly unrelated regressions’ is considered. The collection of seemingly unrelated regressions is linked by common coefficients and/or a common error covariance matrix. Gibbs samplers useful for estimating posterior quantities are described and applied to two examples – a set of linear expenditure functions and a cost function and share equations from production theory.

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File URL: http://www.economics.unimelb.edu.au/SITE/research/workingpapers/wp04/912.pdf
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Publisher Info
Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 912.

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Length: 35 pages
Date of creation: 2004
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Handle: RePEc:mlb:wpaper:912

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  1. Griffiths, William E. & O'Donnell, Christopher J. & Cruz, Augustina Tan, 1999. "Imposing Regularity Conditions On A System Of Cost And Factor Share Equations," Working Papers 12925, University of New England, School of Economics. [Downloadable!]
  2. Lluch, Constantino, 1973. "The extended linear expenditure system," European Economic Review, Elsevier, vol. 4(1), pages 21-32, April. [Downloadable!] (restricted)
  3. 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)
  4. 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)
  5. Griffiths, W.E. & Valenzuela, R., 2001. "Estimating Costs of Children from Micro-Unit Records: A New Procedure Applied to Australian Data," Department of Economics - Working Papers Series 795, The University of Melbourne. [Downloadable!]
  6. 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!]
  7. Kakwani, Nanak C, 1977. "On the Estimation of Consumer Unit Scales," The Review of Economics and Statistics, MIT Press, vol. 59(4), pages 507-10, November. [Downloadable!] (restricted)
  8. 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.
  9. Smith, Michael & Kohn, Robert, 2000. "Nonparametric seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 98(2), pages 257-281, October. [Downloadable!] (restricted)
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  10. Bauwens, Luc & Richard, Jean-Francois, 1985. "A 1-1 poly-t random variable generator with application to Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 19-46. [Downloadable!] (restricted)
  11. 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)
  12. 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)
  13. Smith M. & Kohn R., 2002. "Parsimonious Covariance Matrix Estimation for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1141-1153, December. [Downloadable!] (restricted)
  14. 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)
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