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

DOI10.1016/0304-4076(91)90033-AzbMATH Open0722.62072MaRDI QIDQ756350FDOQ756350

Authors: M. F. J. Steel 

Publication date: 1991

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

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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)

Cites Work

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• Bayesian Inference in Econometric Models Using Monte Carlo Integration
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• Bayesian Limited Information Analysis of the Simultaneous Equations Model
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• On the evaluation of poly-t density functions
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Cited In (6)

• Title not available (Why is that?)
• Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market
• Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
• Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of direct Monte Carlo and importance sampling techniques
• MCMC algorithms for two recent Bayesian limited information estimators
• Title not available (Why is that?)

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