A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches

DOI10.1016/0304-4076(91)90033-AzbMath0722.62072MaRDI QIDQ756350

Mark F. J. Steel

Publication date: 1991

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

zbMATH Keywords

numerical stabilityMonte Carlo integrationhybrid methodsimultaneous equation modelsunifying frameworkKlein's model Ipoly-t based methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Posterior and predictive densities for simultaneous equation models
• Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
• A 1-1 poly-t random variable generator with application to Monte Carlo integration
• Antithetic acceleration of Monte Carlo integration in Bayesian inference
• On the evaluation of poly-t density functions
• Further experience in Bayesian analysis using Monte Carlo integration
• Bayesian regression analysis using poly-t densities
• Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
• Multiresponse parameter estimation with a new and noninformative prior
• Bayesian Limited Information Analysis of the Simultaneous Equations Model
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• A note on the expected value of an inverse matrix
• The Statistical Implications of a System of Simultaneous Equations

This page was built for publication: A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches