Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior

DOI10.1016/S0304-4076(98)00006-2zbMath1054.62618OpenAlexW2145282863WikidataQ128100738 ScholiaQ128100738MaRDI QIDQ1305651

John C. Chao, Peter C. B. Phillips

Publication date: 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00006-2

zbMATH Keywords

Laplace approximation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market ⋮ Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data ⋮ On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks ⋮ A semi-parametric Bayesian approach to the instrumental variable problem ⋮ Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox ⋮ Bayesian inference in the triangular cointegration model using a jeffreys prior ⋮ CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS ⋮ Bayesian Instrumental Variables: Priors and Likelihoods ⋮ Model selection in the presence of nonstationarity ⋮ BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL ⋮ YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS ⋮ MCMC algorithms for two recent Bayesian limited information estimators ⋮ Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables. ⋮ Bayesian and classical approaches to instrumental variable regression

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