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Parameter orthogonalization and Bayesian inference with many instruments

✍ Scribed by Jinyong Hahn; Karsten Hansen


Book ID
116422904
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
208 KB
Volume
112
Category
Article
ISSN
0165-1765

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## Abstract In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying d__S__=__S__d__X__ for some simple models of __X__. Our framework takes as inputs the prior distributions of the parameters of the stoc