Bayesian inference in the triangular cointegration model using a jeffreys prior
From MaRDI portal
Publication:4541744
DOI10.1080/03610920008832577zbMath1023.62036OpenAlexW2075498446MaRDI QIDQ4541744
Gael M. Martin, Vance L. Martin
Publication date: 28 July 2002
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610920008832577
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
Related Items
Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox, Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model, Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
Cites Work
- Unnamed Item
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Estimating Long-Run Economic Equilibria
- A Bayesian analysis of the unit root in real exchange rates
- Bayesian reduced rank regression in econometrics
- Estimation and comparison of multiple change-point models
- Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
- Markov chains for exploring posterior distributions. (With discussion)
- Testing for unit roots in a Bayesian framework
- Optimal Inference in Cointegrated Systems
- Testing for a unit root in time series regression
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Using simulation methods for bayesian econometric models: inference, development,and communication
- Oscillating flow of a heat-conducting fluid in a narrow tube
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Fully Modified Least Squares and Vector Autoregression
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models