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EconStor
Research . 2012
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Conditional posteriors for the reduced rank regression model

Authors: Karlsson, Sune;

Conditional posteriors for the reduced rank regression model

Abstract

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.

Country
Sweden
Related Organizations
Keywords

Economics, ddc:330, C30, Gibbs sampling, Gibbs sampling; full conditional posterior, full conditional posterior, Sannolikhetsteori och statistik, Nationalekonomi, Probability Theory and Statistics, C53, C11, jel: jel:C30, jel: jel:C53, jel: jel:C11

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
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Average
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