A Gibbs sampling approach to cointegration

MaRDI QIDQ1297860zbMATH OpenFDO

Authors Luc Bauwens, Pierre Giot

Publication date 14 September 1999

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

cointegrationvector autoregressionGibbs sampling

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 REFERENCE ANALYSIS OF COINTEGRATION
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Cited in

(5)

• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Some recent developments in Markov chain Monte Carlo for cointegrated time series
• Bayesian analysis of the error correction model
• A Gibbs sampler for structural vector autoregressions
• Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models

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