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 shown to give rise to a marginal posterior density which has Cauchy-like tails similar to that exhibited by the exact finite sample distribution of the corresponding LIML estimator.
Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n + 1 Endogenous VariablesJ.C. Chao and P. C. B. Phillips ,
2( 111 )
Journal of Econometrics
Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n + 1 Endogenous Variables