A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank

DOI10.1080/07350015.2016.1166117MaRDI QIDQ6623180zbMATH OpenFDO

Authors Chew Lian Chua, Sarantis Tsiaplias

Publication date 23 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2016.1166117

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A simple and efficient simulation smoother for state space time series analysis
• Bayesian analysis of the error correction model
• Bayesian inference in a time varying cointegration model
• Bayesian point estimation of the cointegration space
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• On Gibbs sampling for state space models
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Residual-based tests for cointegration in models with regime shifts
• Structural changes in the cointegrated vector autoregressive model
• Testing for the cointegration rank when some cointegrating directions are changing
• Time-varying cointegration

Cited in

(2)

• Dependence modeling in general insurance using local Gaussian correlations and hidden Markov models
• Uncertainty quantification in Bayesian reduced-rank sparse regressions

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