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Bayesian Inference in Dynamic Econometric Models$
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Luc Bauwens, Michel Lubrano, and Jean-François Richard

Print publication date: 2000

Print ISBN-13: 9780198773122

Published to Oxford Scholarship Online: September 2011

DOI: 10.1093/acprof:oso/9780198773122.001.0001

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Systems of Equations

Systems of Equations

(p.265) 9 Systems of Equations
Bayesian Inference in Dynamic Econometric Models

Luc Bauwens

Michel Lubrano

Jean-François Richard

Oxford University Press

This chapter aims to review how Bayesian inference can be applied to some of the so-called systems of equations models. These models can be defined in several forms including multivariate regression models, vector autoregressive (VAR) models, simultaneous equation models (SEM), and systems of seemingly unrelated regression equation (SURE) models. This chapter analyses VAR models which are formally equivalent to multivariate regression models and suggests that VAR models can be either open or closed depending on whether exogenous variables are included or not.

Keywords:   Bayesian inference, systems of equation models, multivariate regression models, VAR models, SEM, SURE models

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