Bayesian Full Information Analysis of Simultaneous Equations
作者:
JacquesH. Drèze,
Juan-Antonio Morales,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1976)
卷期:
Volume 71,
issue 356
页码: 919-923
ISSN:0162-1459
年代: 1976
DOI:10.1080/01621459.1976.10480969
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The paper reviews and extends a Bayesian full information analysis of the simultaneous equations model, based upon an extended natural conjugate prior density. The extended prior density belongs to a closed family and is compatible with the independent specification for each equation of a marginal prior density in the multivariate Student form. The paper establishes properties of the resulting posterior density, of some conditional and marginal densities, and of the posterior densities in the special case of seemingly unrelated regression equations.
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