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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Year of publication:	1998
Authors:	Strachan, R.W.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	COINTEGRATION \| BAYESIAN ANALYSIS \| ECONOMIC MODELS

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 9/98 44 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C11 - Bayesian Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005427606