Bayesian inference in a time varying cointegration model
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Publication:738080
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
Markov chain Monte CarloBayesianreduced rank regressionerror correction modeltime varying cointegration
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
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Uses Software
Cites Work
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