BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION

DOI10.1017/S026646660505019XzbMath1062.62052MaRDI QIDQ4680626

Mattias Villani

Publication date: 7 June 2005

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

importance samplingMonte Carlo integration

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (15)

Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market ⋮ Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data ⋮ Bayesian point estimation of the cointegration space ⋮ Normalization in Econometrics ⋮ Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model ⋮ Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds ⋮ Bayesian Instrumental Variables: Priors and Likelihoods ⋮ Reference Priors for Matrix-Variate Dynamic Linear Models ⋮ Some recent developments in Markov Chain Monte Carlo for cointegrated time series ⋮ Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space ⋮ Cointegration: Bayesian Significance Test ⋮ Bayesian inference in a time varying cointegration model ⋮ Invariant Inference and Efficient Computation in the Static Factor Model ⋮ Mortality projections for non-converging groups of populations ⋮ Priors for the Long Run

Cites Work

• A 1-1 poly-t random variable generator with application to Monte Carlo integration
• Spherical matrix distributions and Cauchy quotients
• Bayesian reduced rank regression in econometrics
• Bayesian regression analysis using poly-t densities
• Estimating the dimension of a model
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• Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
• Marginal Likelihood from the Gibbs Output
• Optimal Inference in Cointegrated Systems
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Testing for Common Trends
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Bayesian assessment of dimensionality in reduced rank regression
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Econometric Model Determination
• Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
• Normal Multivariate Analysis and the Orthogonal Group
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• A new look at the statistical model identification

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