Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244485 
Authors: 
Year of Publication: 
2012
Series/Report no.: 
Working Paper No. 11/2012
Publisher: 
Örebro University School of Business, Örebro
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.
Subjects: 
Gibbs sampling
full conditional posterior
JEL: 
C11
C30
C53
Document Type: 
Working Paper

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