surbayes

Bayesian Analysis of Seemingly Unrelated Regression Models

CRAN Package

Implementation of the direct Monte Carlo approach of Zellner and Ando (2010) doi:10.1016/j.jeconom.2010.04.005 to sample from posterior of Seemingly Unrelated Regression (SUR) models. In addition, a Gibbs sampler is implemented that allows the user to analyze SUR models using the power prior.

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