Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (Q3557578)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space |
scientific article |
Statements
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (English)
0 references
23 April 2010
0 references
Bayesian
0 references
collapsed Gibbs sampler
0 references
error correction model
0 references
Markov chain Monte Carlo
0 references
parameter-augmentation
0 references
reduced rank regression
0 references
0 references
0 references
