Bayesian point estimation of the cointegration space

DOI10.1016/j.jeconom.2005.07.008zbMath1418.62542OpenAlexW2003895689MaRDI QIDQ278200

Mattias Villani

Publication date: 2 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.008

zbMATH Keywords

estimationBayesian inferencesubspacesGrassman manifoldcointegration analysis

Mathematics Subject Classification ID

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

Related Items

Time-varying cointegration, identification, and cointegration spaces, Normalization in Econometrics, VEC-MSF models in Bayesian analysis of short- and long-run relationships, Some recent developments in Markov Chain Monte Carlo for cointegrated time series, Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space, Bayesian inference in a time varying cointegration model

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