Bayesian reduced rank regression in econometrics

Caleb Jin

5-9-2018

1 Foreword

I am Caleb Jin. After I read this paper, Bayesian reduced rank regression in econometrics(Geweke 1996), I write down the nodes of the key idea and R code to realize it.

References

Geweke, John F. 1996. “Bayesian Reduced Rank Regression in Econometrics.” Journal of Econometrics 75 (November). https://doi.org/10.1016/0304-4076(95)01773-9.