BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
نویسندگان
چکیده
منابع مشابه
Reduced rank regression for blocks of simultaneous equations
Reduced rank regression analysis provides maximum likelihood estimators of a matrix of regression coefficients of specified rank and of corresponding linear restrictions on such matrices. These estimators depend on the eigenvectors of an ‘‘effect’’ matrix in the metric of an error covariance matrix. In this paper it is shown that the maximum likelihood estimator of the restrictions can be appro...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 1998
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466698146017