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Conditional posteriors for the reduced rank regression model

  • Karlsson, Sune

    ()

    (Department of Business, Economics, Statistics and Informatics)

The multivariate reduced rank regression model plays an important role in econo- metrics. Examples include co-integration analysis and models with a factor struc- ture. Geweke (1996) provided the foundations for a Bayesian analysis of this model. Unfortunately several of the full conditional posterior distributions, which forms the basis for constructing a Gibbs sampler for the poster distribution, given by Geweke contains errors. This paper provides correct full conditional posteriors for the re- duced rank regression model under the prior distributions considered by Geweke.

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File URL: http://www.oru.se/PageFiles/36235/WP%2011%202012.pdf
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Paper provided by Örebro University, School of Business in its series Working Papers with number 2012:11.

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Length: 7 pages
Date of creation: 27 May 2012
Date of revision:
Handle: RePEc:hhs:oruesi:2012_011
Contact details of provider: Postal: Örebro University School of Business, SE - 701 82 ÖREBRO, Sweden
Phone: 019-30 30 00
Fax: 019-33 25 46
Web page: http://www.oru.se/Institutioner/Handelshogskolan-vid-Orebro-universitet/

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  1. John F. Geweke, 1995. "Bayesian reduced rank regression in econometrics," Working Papers 540, Federal Reserve Bank of Minneapolis.
  2. John Geweke, 2004. "Getting It Right: Joint Distribution Tests of Posterior Simulators," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 799-804, January.
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