Bayesian inference in a time varying cointegration model
DOI10.1016/J.JECONOM.2011.07.007zbMATH Open1441.62782OpenAlexW1588644181MaRDI QIDQ738080FDOQ738080
Authors: Gary Koop, Roberto Leon-Gonzalez, 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
Recommendations
Markov chain Monte CarloBayesianreduced rank regressionerror correction modeltime varying cointegration
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Title not available (Why is that?)
- Projected Multivariate Linear Models for Directional Data
- Statistics on special manifolds
- Methods for inference in large multiple-equation Markov-switching models
- Title not available (Why is that?)
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- A simple and efficient simulation smoother for state space time series analysis
- Remarks on a Multivariate Gamma Distribution
- Marginal Likelihood from the Gibbs Output
- Monte Carlo strategies in scientific computing
- The analysis of directional time series: Applications to wind speed and direction. (Based on the author's thesis, Univ. of Western Australia in Perth)
- Statistical Analysis of Circular Data
- Title not available (Why is that?)
- Title not available (Why is that?)
- Chromatic number and the 2-rank of a graph
- Stability tests in error correction models
- A distance measure between cointegration spaces
- Testing for the cointegration rank when some cointegrating directions are changing
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- Bayesian reduced rank regression in econometrics
- Bayesian analysis of the error correction model
- Bayesian point estimation of the cointegration space
- Normal Multivariate Analysis and the Orthogonal Group
- Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
- Title not available (Why is that?)
- Some stationary Markov processes in discrete time for unit vectors
- Efficient posterior simulation for cointegrated models with priors on the cointegration space
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Bayesian inference in a cointegrating panel data model
- Time-varying cointegration
Cited In (17)
- On the ``mementum of meme stocks
- Joint Bayesian inference about impulse responses in VAR models
- Regime-switching cointegration
- A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States
- Time-varying cointegration, identification, and cointegration spaces
- Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?
- Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
- Invariant Inference and Efficient Computation in the Static Factor Model
- Forecasting time-varying covariance with a robust Bayesian threshold model
- A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
- The Fisher effect in the presence of time-varying coefficients
- Stochastic model specification in Markov switching vector error correction models
- Bayesian inference in the triangular cointegration model using a jeffreys prior
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation
- VEC-MSF models in Bayesian analysis of short- and long-run relationships
- Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
Uses Software
This page was built for publication: Bayesian inference in a time varying cointegration model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738080)
