Chao, John C.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1998
This paper analyzes the behavior of posterior distributions under the Jeffreys prior in a simultaneous equations model …. The case under study is that of a general limited information setup with n + 1 endogenous variables. The Jeffreys prior is … just-identified orthonormal canonical model, where the posterior density under the Jeffreys prior is shown to have the same …