Scandinavian Working Papers in Economics

Working Papers,
Örebro University, School of Business

No 2012:11: Conditional posteriors for the reduced rank regression model

Sune Karlsson ()
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Sune Karlsson: Department of Business, Economics, Statistics and Informatics, Postal: Örebro University, Swedish Business School, SE - 701 82 ÖREBRO, Sweden

Abstract: The multivariate reduced rank regression model plays an important role in econo- metrics. Examples include co-integration analysis and models with a factor struc- ture. Geweke (1996) provided the foundations for a Bayesian analysis of this model. Unfortunately several of the full conditional posterior distributions, which forms the basis for constructing a Gibbs sampler for the poster distribution, given by Geweke contains errors. This paper provides correct full conditional posteriors for the re- duced rank regression model under the prior distributions considered by Geweke.

Keywords: Gibbs sampling; full conditional posterior

JEL-codes: C11; C30; C53

7 pages, May 27, 2012

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