Efficient posterior simulation for cointegrated models with priors on the cointegration space (Q3557578)
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scientific article; zbMATH DE number 5700397
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| English | Efficient posterior simulation for cointegrated models with priors on the cointegration space |
scientific article; zbMATH DE number 5700397 |
Statements
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (English)
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23 April 2010
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Bayesian
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collapsed Gibbs sampler
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error correction model
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Markov chain Monte Carlo
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parameter-augmentation
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reduced rank regression
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0.8289706707000732
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0.7931233048439026
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0.7906433939933777
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0.7893759608268738
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0.7893759608268738
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