
handle: 10419/244485
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.
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
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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