Bayesian reduced rank regression in econometrics

DOI10.1016/0304-4076(95)01773-9zbMATH Open0864.62083OpenAlexW4214831468MaRDI QIDQ1126468FDOQ1126468

Authors: John Geweke 

Publication date: 19 January 1997

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

Full work available at URL: https://doi.org/10.21034/wp.540

Recommendations

• Bayesian assessment of dimensionality in reduced rank regression
• Bayesian analysis of reduced rank regression
• Reduced rank regression. With applications to quantitative structure-activity relationships
• Rank estimation in reduced-rank regression

zbMATH Keywords

regression modelscapital asset pricing modelMarkov chain sampling algorithmnoninformative reference priorspredictive odds ratiosreduced rank regression model

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

Cites Work

• Estimating the dimension of a model
• Title not available (Why is that?)
• Markov chains for exploring posterior distributions. (With discussion)
• Title not available (Why is that?)
• Marginal Likelihood from the Gibbs Output
• Sampling-Based Approaches to Calculating Marginal Densities
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Title not available (Why is that?)
• Title not available (Why is that?)
• Reduced-rank regression for the multivariate linear model
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• General Irreducible Markov Chains and Non-Negative Operators
• Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
• Estimation of a Model with Multiple Indicators and Multiple Causes of a Single Latent Variable
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Bayesian Limited Information Analysis of the Simultaneous Equations Model
• Reduced Rank Models with Two Sets of Regressors

Cited In (61)

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

This page was built for publication: Bayesian reduced rank regression in econometrics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1126468)