A numerical Bayesian test for cointegration of AR processes

DOI10.1016/0304-4076(94)01619-BMaRDI QIDQ1347107zbMATH OpenOpenAlexFDO

Authors Jeffrey H. Dorfman

Publication date 6 June 1995

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01619-b

zbMATH Keywords

cointegrationprior informationBayesian Monte Carlo techniquesforeign exchange rateslag lengthnonstationary rootsposterior odds ratio test

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

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• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
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Cites work

• scientific article; zbMATH DE number 4213408 (Why is no real title available?)
• scientific article; zbMATH DE number 4840 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• scientific article; zbMATH DE number 3038015 (Why is no real title available?)
• A Bayesian analysis of the unit root in real exchange rates
• A Bayesian approach to state space multivariate time series modeling
• Antithetic acceleration of Monte Carlo integration in Bayesian inference
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Bayesian analysis of dichotomous quantal response models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
• Five alternative methods of estimating long-run equilibrium relationships
• Forecasting and conditional projection using realistic prior distributions
• Further experience in Bayesian analysis using Monte Carlo integration
• Optimal Inference in Cointegrated Systems
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Testing for a unit root in time series regression
• Testing for cointegration using principal components methods

Cited in

(5)

• Bayesian point estimation of the cointegration space
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Some recent developments in Markov chain Monte Carlo for cointegrated time series
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Cointegration: Bayesian significance test

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