Zellner, Arnold; Ando, Tomohiro - In: Journal of Econometrics 159 (2010) 1, pp. 33-45
Computationally efficient methods for Bayesian analysis of seemingly unrelated regression (SUR) models are described and applied that involve the use of a direct Monte Carlo (DMC) approach to calculate Bayesian estimation and prediction results using diffuse or informative priors. This DMC...