Bayesian point estimation of the cointegration space

DOI10.1016/J.JECONOM.2005.07.008MaRDI QIDQ278200zbMATH OpenOpenAlexFDO

Authors Mattias Villani

Publication date 2 May 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.07.008

zbMATH Keywords

Bayesian inferenceestimationsubspacesGrassman manifoldcointegration analysis

Mathematics Subject Classification ID

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

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• Bayesian analysis of the error correction model
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• Markov chains for exploring posterior distributions. (With discussion)
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• Normalization in point estimation
• Optimal Inference in Cointegrated Systems
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• The Geometry of Algorithms with Orthogonality Constraints
• Uniform distribution on a Stiefel manifold

Cited in

(11)

• Cointegrated linear processes in Bayes Hilbert space
• Time-varying cointegration, identification, and cointegration spaces
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• A distance measure between cointegration spaces
• Some recent developments in Markov chain Monte Carlo for cointegrated time series
• Bayesian inference in a time varying cointegration model
• Bayesian analysis of the error correction model
• A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
• Normalization in Econometrics
• VEC-MSF models in Bayesian analysis of short- and long-run relationships

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