Bayesian analysis of the error correction model

DOI10.1016/J.JECONOM.2003.12.004MaRDI QIDQ1886286zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

CointegrationError correction modelGrassman manifoldPosterior probabilityStiefel manifold

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)

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Cites work

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Cited in

(23)

• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
• Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds
• Regime-switching cointegration
• Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
• Bayesian point estimation of the cointegration space
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Bayesian inference in a cointegrating panel data model
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• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
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• Priors for the long run
• Bayesian model averaging in the instrumental variable regression model
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• Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?
• A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
• Bayesian inference in a time varying cointegration model

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