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| Tekijä: | Chao, J. C. Phillips, P. C. B. |
| Otsikko: | Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior. |
| Lehti: | Journal of Econometrics
1998 : NOV, VOL. 87:1, p. 49-86 |
| Asiasana: | BAYESIAN STATISTICS FREQUENCY DISTRIBUTION EQUATIONS |
| Kieli: | eng |
| Tiivistelmä: | The article studies the use of the Jeffreys prior in Bayesain analysis of the simultaneous equations model (SEM). Both the exact and the approximate formulas the authors drive are found to exhibit Cauchy-like tails analogous to comparable results in the classical literature.The article also examines the occurrrence of a nonintegrable asymptotic cusp in the posterior distribution of the coefficient matrix of the reduced-form equations for the included endogenous regressors. |
SCIMA