Gibbs Samplers for a Set of Seemingly Unrelated Regressions
AbstractBayesian 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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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 912.
Length: 35 pages
Date of creation: 2004
Date of revision:
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