Efficient posterior simulation for cointegrated models with priors on the cointegration space
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Cites work
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- Bayesian analysis of the error correction model
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- Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
- Bayesian point estimation of the cointegration space
- Bayesian reduced rank regression in econometrics
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Oscillating flow of a heat-conducting fluid in a narrow tube
- Practical Markov Chain Monte Carlo
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- The matrix angular central Gaussian distribution
Cited in
(24)- A Gibbs sampling approach to cointegration
- A numerical Bayesian test for cointegration of AR processes
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- Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
- Reducing the state space dimension in a large TVP-VAR
- Modeling US housing prices by spatial dynamic structural equation models
- Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models
- Regime-switching cointegration
- VEC-MSF models in Bayesian analysis of short- and long-run relationships
- Stochastic model specification in Markov switching vector error correction models
- Choosing between identification schemes in noisy-news models
- Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
- Some recent developments in Markov chain Monte Carlo for cointegrated time series
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- Invariant inference and efficient computation in the static factor model
- Bayesian Instrumental Variables: Priors and Likelihoods
- Bayesian model averaging in the instrumental variable regression model
- Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?
- Structured prior distributions for the covariance matrix in latent factor models
- Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
- Has the COVID-19 outbreak capsized the predictive performance of Bayesian VAR models with cointegration and time-varying volatility?
- Bayesian ex post evaluation of recursive multi-step-ahead density prediction
- Identification of structural shocks in Bayesian vector error correction models with two-state Markov-switching heteroskedasticity
- Bayesian inference in a time varying cointegration model
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