Bayesian inference in a cointegrating panel data model

DOI10.1016/S0731-9053(08)23013-6MaRDI QIDQ3572034zbMATH OpenOpenAlexFDO

Authors Gary Koop, Roberto Leon-Gonzalez, Rodney W. Strachan

Publication date 30 June 2010

Published in Bayesian Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0731-9053(08)23013-6

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(20)

• A Gibbs sampling approach to cointegration
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Bayesian analysis of the error correction model
• Regime-switching cointegration
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
• Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
• Bayesian inference of latent threshold models with application to Japanese macroeconomic data
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Bayesian inference in the triangular cointegration model using a jeffreys prior
• Some recent developments in Markov chain Monte Carlo for cointegrated time series
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Trends and cycles in non-stationary panel models
• scientific article; zbMATH DE number 7255573 (Why is no real title available?)
• Bayesian inference for random coefficient dynamic panel data models
• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• Semiparametric Bayesian Inference in Autoregressive Panel Data Models
• Bayesian estimation of dynamic panel data gravity model
• A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
• Bayesian inference in a time varying cointegration model
• Bayesian regression analysis of data with random effects covariates from nonlinear longitudinal measurements

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