Conditional posteriors for the reduced rank regression model
نویسنده
چکیده
The multivariate reduced rank regression model plays an important role in econometrics. Examples include co-integration analysis and models with a factor structure. 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 reduced rank regression model under the prior distributions considered by Geweke. JEL-codes: C11, C30, C53
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