Bayesian inference for the correlation coefficient in two seemingly unrelated regressions
We study the problems of hypothesis testing and point estimation for the correlation coefficient between the disturbances in the system of two seemingly unrelated regression equations. An objective Bayesian solution to each problem is proposed based on combined use of the invariant loss function and the objective prior distribution for the unknown model parameters. It is shown that this new solution possesses an invariance property under monotonic reparameterization of the quantity of interest. The performance of the proposed solution is examined through a simulation study. Furthermore, the solution is illustrated by an application to the real annual data for analyzing the investment model.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 56 (2012)
Issue (Month): 8 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/csda|
References listed on IDEAS
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.:
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
- G. Datta & J. Ghosh, 1995. "Noninformative priors for maximal invariant parameter in group models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 4(1), pages 95-114, June.
- Liu, Aiyi, 2002. "Efficient Estimation of Two Seemingly Unrelated Regression Equations," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 445-456, August.
- Fraser, D.A.S. & Rekkas, M. & Wong, A., 2005. "Highly accurate likelihood analysis for the seemingly unrelated regression problem," Journal of Econometrics, Elsevier, vol. 127(1), pages 17-33, July.
- Wang, Lichun & Lian, Heng & Singh, Radhey S., 2011. "On efficient estimators of two seemingly unrelated regressions," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 563-570, May.
- José M. Bernardo & Raúl Rueda, 2002. "Bayesian Hypothesis Testing: a Reference Approach," International Statistical Review, International Statistical Institute, vol. 70(3), pages 351-372, December.
- José Bernardo, 2005. "Intrinsic credible regions: An objective Bayesian approach to interval estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 317-384, December.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:56:y:2012:i:8:p:2442-2453. 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: (Shamier, Wendy)
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.