Bayesian inference in a time varying cointegration model

DOI10.1016/j.jeconom.2011.07.007zbMath1441.62782OpenAlexW1588644181MaRDI QIDQ738080

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

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.007

zbMATH Keywords

Markov chain Monte CarloBayesianreduced rank regressionerror correction modeltime varying cointegration

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 (7)

The Fisher effect in the presence of time-varying coefficients ⋮ Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation ⋮ 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 ⋮ On the ``mementum of meme stocks ⋮ Invariant Inference and Efficient Computation in the Static Factor Model

Uses Software

• bvarsv

Cites Work

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