BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
Diffuse priors lead to pathological posterior behavior when used in Bayesian analyses of simultaneous equation models (SEM's). This results from the local nonidentification of certain parameters in SEM's. When this a priori known feature is not captured appropriately, it results in an a posteriori favoring of certain specific parameter values …