Bayesian analysis of the error correction model

DOI10.1016/J.JECONOM.2003.12.004zbMATH Open1085.62034OpenAlexW1963540486MaRDI QIDQ1886286FDOQ1886286

Authors: Rodney W. Strachan, Brett A. Inder 

Publication date: 18 November 2004

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.004

Recommendations

• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Regime-switching cointegration
• Bayesian inference in a cointegrating panel data model
• Bayesian point estimation of the cointegration space

zbMATH Keywords

Stiefel manifoldGrassman manifoldCointegrationError correction modelPosterior probability

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

• Estimating the dimension of a model
• Title not available (Why is that?)
• A new look at the statistical model identification
• Title not available (Why is that?)
• A Gibbs sampling approach to cointegration
• Accurate Approximations for Posterior Moments and Marginal Densities
• Title not available (Why is that?)
• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Bayes Factors
• Title not available (Why is that?)
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistical analysis of cointegration vectors
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Title not available (Why is that?)
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Bayesian reduced rank regression in econometrics
• Bayesian regression analysis using poly-t densities
• Normal Multivariate Analysis and the Orthogonal Group
• Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator
• An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
• Title not available (Why is that?)
• Approximate marginal densities of nonlinear functions
• The matrix angular central Gaussian distribution

Cited In (22)

• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Regime-switching cointegration
• Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
• Priors for the long run
• Bayesian point estimation of the cointegration space
• Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?
• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Title not available (Why is that?)
• Some recent developments in Markov chain Monte Carlo for cointegrated time series
• Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds
• Bayesian inference in a time varying cointegration model
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
• Bayesian inference in a cointegrating panel data model
• Invariant inference and efficient computation in the static factor model
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
• Title not available (Why is that?)
• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
• Cointegration: Bayesian significance test
• Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
• Bayesian model averaging in the instrumental variable regression model

This page was built for publication: Bayesian analysis of the error correction model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1886286)