Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.

DOI10.1016/S0304-4076(02)00106-9zbMath1099.62509MaRDI QIDQ1867741

Peter C. B. Phillips, John C. Chao

Publication date: 2 April 2003

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

zbMATH Keywords

Laplace approximationJeffreys priorPosterior distributionConfluent hypergeometric functionSimultaneous equations modelZonal polynomials

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15)

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Uses Software

• AS 94

Cites Work

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