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| Author: | Geweke, J. |
| Title: | Bayesian reduced rank regression in econometrics |
| Journal: | Journal of Econometrics
1996 : NOV, VOL. 75:1, p. 121-146 |
| Index terms: | ECONOMETRICS ECONOMICS BAYESIAN STATISTICS |
| Language: | eng |
| Abstract: | The reduced rank regression model arises repeatedly in theoretical and applied econometrics. To date the only general treatments of this model have been frequentist. This paper develops general methods for Bayesian inference with noninformative reference priors in this model, based on a markov chain sampling algorithm, and procedures for obtaining predictive odds rations for regression models with different ranks. These methods are used to obtain evidence on the number of factors in a capital asset pricing model. |
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