Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables
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- Chao, John C. & Phillips, Peter C. B., 2002. "Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables," Journal of Econometrics, Elsevier, vol. 111(2), pages 251-283, December.
References listed on IDEAS
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- Frank Kleibergen & Eric Zivot, 2003. "Bayesian and Classical Approaches to Instrumental Variable Regression," Working Papers UWEC-2002-21-P, University of Washington, Department of Economics.
- Frank Kleibergen & Eric Zivot, 1998. "Bayesian and Classical Approaches to Instrumental Variable Regression," Discussion Papers in Economics at the University of Washington 0063, Department of Economics at the University of Washington.
- Kleibergen, F.R. & Zivot, E., 1998. "Bayesian and classical approaches to instrumental variable regression," Econometric Institute Research Papers EI 9835, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Frank Kleibergen & Eric Zivot, 1998. "Bayesian and Classical Approaches to Instrumental Variables Regression," Econometrics 9812002, University Library of Munich, Germany.
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- Radchenko, Stanislav & Tsurumi, Hiroki, 2006.
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- Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, University Library of Munich, Germany.
- Stanislav Radchenko, 2004. "Lags in the response of gasoline prices to changes in crude oil," Econometrics 0406001, University Library of Munich, Germany.
- Dale J. Poirier & Gary Koop & Justin Tobias, 2005.
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Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 723-747.
- Koop, Gary M & Poirier, Dale J & Tobias, Justin, 2005. "Semiparametric Bayesian Inference in Multiple Equation Models," Staff General Research Papers Archive 12009, Iowa State University, Department of Economics.
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More about this item
Keywords
Cauchy tails; exact finite sample distributions; Jeffreys prior; just identification; limited information; posterior density; simultaneous equations model;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
Statistics
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