bayesian Estimation of the Reduced Rank Regression Model without Ordering Restrictions
In 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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|Date of creation:||1998|
|Date of revision:|
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Web page: http://www.buseco.monash.edu.au/depts/ebs/
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|Order Information:|| Web: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/ Email: |
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