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

DOI10.1016/0304-4076(91)90033-AMaRDI QIDQ756350zbMATH OpenFDO

Authors M. F. J. Steel

Publication date 1991

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

zbMATH Keywords

numerical stabilityhybrid methodMonte Carlo integrationsimultaneous 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)

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• Bayesian Inference in Econometric Models Using Monte Carlo Integration
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• The Statistical Implications of a System of Simultaneous Equations

Cited in

(6)

• Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market
• MCMC algorithms for two recent Bayesian limited information estimators
• Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of direct Monte Carlo and importance sampling techniques
• scientific article; zbMATH DE number 3954135 (Why is no real title available?)
• Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
• scientific article; zbMATH DE number 4056858 (Why is no real title available?)

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