Advanced Search
MyIDEAS: Login to save this paper or follow this series

Bayesian Trace Statistics for the Reduced Rank Regression Model

Contents:

Author Info

  • Strachan, R.W.
  • Inder, B.

Abstract

Estimation of the reduced rank regression model requires restrictions be imposed upon the model. Two forms of restrictions are commonly used. Earlier Bayesian work relied on the triangular method of identification which imposes an a priori ordering on the variables in the system, however, incorrect ordering of the variables can result in model misspecification. Bayesian estimation of the reduced rank regression model without ordering restrictions was presented in Strachan (1998) and follows the classical approach of Anderson (1951) and Johansen (1998). This method of estimation avoids placing restrictions on the space spanned by the reduced rank relations and simplifies testing of restrictions on that space. In this paper, a method for estimating approximate marginal likelihoods and Bayes factors is presented for this model, using Laplace approximations for integrals. These Bayes factors algebraically resemble the Johansen trace statistic (1995), hence the title. We consider the model with rank r and no restrictions on the reduced rank relations.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/1999/wp13-99.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 13/99.

as in new window
Length: 25 pages
Date of creation: Oct 1999
Date of revision:
Handle: RePEc:msh:ebswps:1999-13

Contact details of provider:
Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Phone: +61-3-9905-2489
Fax: +61-3-9905-5474
Email:
Web page: http://www.buseco.monash.edu.au/depts/ebs/
More information through EDIRC

Order Information:
Email:
Web: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/

Related research

Keywords: Reduced rank regression; marginal likelihoods; Bayes factors; Bayesian analysis;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:1999-13. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simone Grose).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.