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)

Related Items (5)

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 ⋮ Normalization in Econometrics ⋮ YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS ⋮ Bayesian and classical approaches to instrumental variable regression

Uses Software

• AS 94

Cites Work

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• An invariant form for the prior probability in estimation problems

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