Bayesian analysis of the error correction model

DOI10.1016/J.JECONOM.2003.12.004MaRDI QIDQ1886286zbMATH OpenOpenAlexFDO

Authors Rodney W. Strachan, Brett A. Inder

Publication date 18 November 2004

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2003.12.004

zbMATH Keywords

Stiefel manifoldGrassman manifoldCointegrationError correction modelPosterior probability

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cited in

(22)

• A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
• Some recent developments in Markov chain Monte Carlo for cointegrated time series
• Bayesian inference in a cointegrating panel data model
• Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds
• Priors for the long run
• Regime-switching cointegration
• scientific article; zbMATH DE number 4113812 (Why is no real title available?)
• Bayesian point estimation of the cointegration space
• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
• Cointegration: Bayesian significance test
• Invariant inference and efficient computation in the static factor model
• Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?
• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
• Bayesian inference in a time varying cointegration model
• Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
• scientific article; zbMATH DE number 6811485 (Why is no real title available?)
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Bayesian model averaging in the instrumental variable regression model
• Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration

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