Notes
The analysis can be easily extended to the general, implicit, nonlinear simultaneous equations model by incorporating the Jacobian determinant in the posterior reported below.
I take up the easiest case here. It is possible to allow for different σ j and ω j , that is can allow for different variances for each set of restrictions. These cases can be handled easily.
The distributions involved are truncated normal, chi-square, and Wishart.
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Tsionas, E.G. Commentary. J Prod Anal 30, 71–75 (2008). https://doi.org/10.1007/s11123-008-0097-3
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DOI: https://doi.org/10.1007/s11123-008-0097-3