Bayesian point estimation of the cointegration space (Q278200): Difference between revisions

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+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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+F15
@@ Property / Mathematics Subject Classification ID: 62F15 / rank @@
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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / zbMATH DE Number @@
+6575920
@@ Property / zbMATH DE Number: 6575920 / rank @@
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@@ Property / zbMATH Keywords @@
+Bayesian inference
@@ Property / zbMATH Keywords: Bayesian inference / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+cointegration analysis
@@ Property / zbMATH Keywords: cointegration analysis / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+estimation
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+Normal rank
@@ Property / zbMATH Keywords @@
+Grassman manifold
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+subspaces
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+https://doi.org/10.1016/j.jeconom.2005.07.008
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+W2003895689
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@@ Property / cites work @@
+Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
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+Q3796553
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+Q3713374
@@ Property / cites work: Q3713374 / rank @@
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+The Geometry of Algorithms with Orthogonality Constraints
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Normalization in point estimation
@@ Property / cites work: Normalization in point estimation / rank @@
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@@ Property / cites work @@
+Bayesian Inference in Econometric Models Using Monte Carlo Integration
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+Bayesian reduced rank regression in econometrics
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+Normal Multivariate Analysis and the Orthogonal Group
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+A comment on ''normalization in point estimation''
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+Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
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+Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
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+Q4852355
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+Uniform distribution on a Stiefel manifold
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+Optimal Inference in Cointegrated Systems
@@ Property / cites work: Optimal Inference in Cointegrated Systems / rank @@
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+A Bayesian approach to geometric subspace estimation
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+Bayesian analysis of the error correction model
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+Markov chains for exploring posterior distributions. (With discussion)
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+BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
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+Q4023252
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+Publication:278200