A neuroeconomist asks::
Is there any literature on the Bayesian approach to simultaneous equation systems that you could suggest? (Think demand/supply in econ).
My reply: I’m not up-to-date on the Bayesian econometrics literature. TTony Lancaster came out with a book a few years ago that might have some of these models. Maybe you, the commenters, have some suggestions? Measurement-error models are inherently Bayesian, seeing as they have all these latent parameters, so it seems like there should be a lot out there.
What about Sik-Yum Lee's text book "Structural Equation Modeling: A Bayesian Approach"?
http://eu.wiley.com/WileyCDA/WileyTitle/productCd…
What is a neuroeconomist?
To Antonio: a behavioral economist with an FMRI lab.
Rossi et al's Bayesian Marketing book covers this pretty well.
Section 8.8 of Tony Lancaster's book covers the estimation of a Supply and Demand system including the relevant BUGS code.
I don't have Rossi et al's book in front of me, but I think this is the paper their chapter on simultaneous supply and demand is based on:
Yang, S. et al. 2003. Bayesian Analysis of Simultaneous Demand and Supply. Quantitative Marketing and Economics, 1, 251–275.
Not sure whether there is anything specific on simultaneous equations but Chris Sims is a strong advocate of Bayesian Econometrics and his webpage contains tons of materials (also on other things, so just scroll down):
http://www.princeton.edu/~sims/
Bauwens, Lubrano and Richards' <a>Bayesian Inference in Dynamic Econometric Models has a chapter on systems of equations, though the focus there is on time series data.