Bayesian inference in a cointegrating panel data model

DOI10.1016/S0731-9053(08)23013-6zbMATH Open1189.62045OpenAlexW1557120449MaRDI QIDQ3572034FDOQ3572034

Gary Koop, Rodney W. Strachan, Roberto Leon-Gonzalez

Publication date: 30 June 2010

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

Full work available at URL: https://doi.org/10.1016/s0731-9053(08)23013-6

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Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Cited In (17)

• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Bayesian inference for random coefficient dynamic panel data models
• Regime-switching cointegration
• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• Semiparametric Bayesian Inference in Autoregressive Panel Data Models
• Title not available (Why is that?)
• Bayesian inference of latent threshold models with application to Japanese macroeconomic data
• Bayesian inference in a time varying cointegration model
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Bayesian estimation of dynamic panel data gravity model
• Bayesian analysis of the error correction model
• Bayesian inference in the triangular cointegration model using a jeffreys prior
• Bayesian regression analysis of data with random effects covariates from nonlinear longitudinal measurements
• A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
• 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 inference for unit root in smooth transition autoregressive models and its application to OECD countries

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