MCMC algorithms for two recent Bayesian limited information estimators

Recent developments in Bayesian limited information analysis of simultaneou s equations models, e.g., Chao and Phillips (1998) [Chao, J.C., Phillips, P .C.B., 1998. Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior. Journal of Economet rics 87, 49-86] and Kleibergen and van Dijk (1998) [Kleibergen, F., van Dij k, H.K., 1998. Bayesian simultaneous equation analysis using reduced rank s tructures. Econometric Theory 14, 731-743], provide new choices for empiric al practitioners. This note proposes a "Gibbs within M-H" algorithm to expl ore the non-standard posterior densities resulting from these Bayesian appr oaches and illustrates the procedure with a simple labor supply model from Goldberger (1998) [Goldberger, A.S., 1998. Introductory Econometrics. Harva rd University Press, Cambridge MA]. (C) 2000 Elsevier Science S.A. All righ ts reserved.