bayesian Estimation of the Reduced Rank Regression Model without Ordering Restrictions
AbstractIn this paper we have demonstrated the implications of incorrectly normalising the parameters of a reduced rank regression model to achieve global identification, and presented a method for estimating this model without using the ordering restrictions imposed in previous Bayesian and frequentist approaches.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 9/98.
Length: 44 pages
Date of creation: 1998
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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