Bayesian reduced rank regression in econometrics
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Publication:1126468
DOI10.1016/0304-4076(95)01773-9zbMATH Open0864.62083OpenAlexW4214831468MaRDI QIDQ1126468FDOQ1126468
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Cites work
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- Estimating the dimension of a model
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- Marginal Likelihood from the Gibbs Output
- Markov chains for exploring posterior distributions. (With discussion)
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Cited in
(62)- Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
- A reduced-rank approach to predicting multiple binary responses through machine learning
- Bayesian Instrumental Variables: Priors and Likelihoods
- Semiparametric Bayes instrumental variable estimation with many weak instruments
- Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
- A fully Bayesian approach to sparse reduced-rank multivariate regression
- Imputation and Variable Selection in Linear Regression Models with Missing Covariates
- Bayesian inference for high-dimensional linear regression under mnet priors
- Bayesian multiple testing for two-sample multivariate endpoints
- Stochastic complexities of reduced rank regression in Bayesian estimation
- Bayesian sparse reduced rank multivariate regression
- Reduced rank regression with possibly non-smooth criterion functions: an empirical likelihood approach
- Priors for the long run
- Forecasting time-varying covariance with a robust Bayesian threshold model
- Matrix factorization for multivariate time series analysis
- A semi-parametric Bayesian approach to the instrumental variable problem
- Bayesian Covariance Selection in Generalized Linear Mixed Models
- Regime-switching cointegration
- Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
- Bayesian point estimation of the cointegration space
- Bayesian Semiparametric Multiple Shrinkage
- Big data Bayesian linear regression and variable selection by normal-inverse-gamma summation
- Structural analysis with multivariate autoregressive index models
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- BINARY REGRESSION WITH A CLASS OF SKEWEDtLINK MODELS
- Cointegration: Bayesian significance test
- Corrigendum to ``Bayesian reduced rank regression in econometrics
- Invariant inference and efficient computation in the static factor model
- Bayesian Inferences in the Cox Model for Order‐Restricted Hypotheses
- Variable selection in STAR models with neighbourhood effects using genetic algorithms
- Fiscal policy in good and bad times
- Bayesian inference in the triangular cointegration model using a jeffreys prior
- Carbon dioxide emissions and economic growth: A structural approach
- Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
- Bayesian singular value regularization via a cumulative shrinkage process
- Bayesian inference in a time varying cointegration model
- Bayesian Inferences on Predictors of Conception Probabilities
- Model selection criteria for reduced rank multivariate time series: a simulation study
- Robust reduced-rank modeling via rank regression
- Multivariate reduced rank regression in non-Gaussian contexts, using copulas
- Generalized high-dimensional trace regression via nuclear norm regularization
- Methods for computing marginal data densities from the Gibbs output
- A multivariate stochastic model with non‐stationary trend component
- Bayesian Isotonic Regression and Trend Analysis
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- Sequentially adaptive Bayesian learning algorithms for inference and optimization
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank
- Normalization in Econometrics
- Robust inference for generalized partially linear mixed models that account for censored responses and missing covariates -- an application to Arctic data analysis
- Bayesian Inferences on Umbrella Orderings
- Fixed and Random Effects Selection in Linear and Logistic Models
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- Efficient posterior simulation for cointegrated models with priors on the cointegration space
- Random Effects Selection in Linear Mixed Models
- Bayesian compressed vector autoregressions
- Bayesian analysis of reduced rank regression
- Bayesian analysis of the error correction model
- A variable selection approach to monotonic regression with Bernstein polynomials
- Bayesian assessment of dimensionality in reduced rank regression
- Selecting Factors Predictive of Heterogeneity in Multivariate Event Time Data
- Selection of importance weights for monte carlo estimation of normalizing constants
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