Bayesian inference in the triangular cointegration model using a jeffreys prior

DOI10.1080/03610920008832577MaRDI QIDQ4541744zbMATH OpenOpenAlexFDO

Authors Gael M. Martin, Vance Martin

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920008832577

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A Bayesian analysis of the unit root in real exchange rates
• Bayesian reduced rank regression in econometrics
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Estimating Long-Run Economic Equilibria
• Estimation and comparison of multiple change-point models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fully Modified Least Squares and Vector Autoregression
• scientific article; zbMATH DE number 941484 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Optimal Inference in Cointegrated Systems
• Oscillating flow of a heat-conducting fluid in a narrow tube
• Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing for a unit root in time series regression
• Testing for unit roots in a Bayesian framework
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
• Using simulation methods for bayesian econometric models: inference, development,and communication

Cited in

(6)

• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Bayesian inference in a cointegrating panel data model
• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• Bayesian framework for interval-valued data using Jeffreys’ prior and posterior predictive checking methods

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