Moscarini, Giuseppe; Ottaviani, Marco - Cowles Foundation for Research in Economics, Yale University - 1998
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 shown to …-identified orthonormal canonical model, where the posterior density under the Jeffreys prior is shown to have the same functional form as the …