A Gibbs sampling approach to cointegration
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Publication:1297860
zbMATH Open0922.62085MaRDI QIDQ1297860FDOQ1297860
Authors: Luc Bauwens, Pierre Giot 
Publication date: 14 September 1999
Published in: Computational Statistics (Search for Journal in Brave)
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- Some recent developments in Markov chain Monte Carlo for cointegrated time series
- Bayesian analysis of the error correction model
- Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models
- A Gibbs sampler for structural vector autoregressions
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