Cointegration: Bayesian significance test

DOI10.1080/03610926.2011.563021MaRDI QIDQ4648647zbMATH OpenOpenAlexFDO

Authors Julio Michael Stern, Márcio Augusto Diniz, Carlos A. B. Pereira

Publication date 12 November 2012

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.563021

zbMATH Keywords

Bayesian inferencecointegrationhypothesis testingreduced rank regressiontime series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15) Applications of statistics to economics (62P20)

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Cites work

• A Bayesian reflection on surfaces
• Bayesian analysis of the error correction model
• Bayesian evidence test for precise hypotheses
• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Bayesian reduced rank regression in econometrics
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Can a significance test be genuinely Bayesian?
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
• scientific article; zbMATH DE number 3934086 (Why is no real title available?)
• scientific article; zbMATH DE number 3061365 (Why is no real title available?)
• Inflation and welfare
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• On the Bayesianity of Pereira-Stern tests
• Optimal Inference in Cointegrated Systems
• Oscillating flow of a heat-conducting fluid in a narrow tube
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Statistical analysis of cointegration vectors

Cited in

(2)

• The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
• Optimization models for reaction networks: information divergence, quadratic programming and Kirchhoff's laws

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