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GIBBS SAMPLERS FOR A SET OF SEEMINGLY UNRELATED REGRESSIONS
Author(s) -
Griffiths William E.,
Valenzuela Ma. Rebecca
Publication year - 2006
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/j.1467-842x.2006.00444.x
Subject(s) - mathematics , gibbs sampling , statistics , seemingly unrelated regressions , econometrics , covariance , bayesian probability , covariance matrix , set (abstract data type) , linear regression , computer science , programming language
Summary Bayesian estimation of a collection of seemingly unrelated regressions, referred to as a ‘set of seemingly unrelated regressions’ is considered. The collection of seemingly unrelated regressions is linked by common coefficients and/or a common error covariance matrix. Gibbs samplers useful for estimating posterior quantities are described and one of them is applied to a set of linear expenditure functions to estimate household equivalent scales.