Bayes Reference Analysis Of Cointegration Request Pdf

Published online by Cambridge University Press: 31 March 2005 A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables for... Several methods for computing the posterior distribution of the number of cointegrating relations and distribution of the model parameters for a given number of relations are proposed, including an efficient Gibbs sampling approach where... Simulated data are used to illustrate the procedures and for discussing the well-known issue of local nonidentification.The author thanks Luc Bauwens, Anant Kshirsagar, Peter Phillips, Herman van Dijk, four anonymous referees, and especially Daniel... Financial support from the Swedish Council of Research in Humanities and Social Sciences (HSFR) grant F0582/1999 and Swedish Research Council (Vetenskapsrådet) grant 412-2002-1007 is gratefully acknowledged.

The views expressed in this paper are solely the responsibility of the author and should not be interpreted as reflecting the views of the Executive Board of Sveriges Riksbank. View all Google Scholar citations for this article. To send this article to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your... Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply. © 2025 Amaplex Software S.P.R.L. All rights reserved. Published online by Cambridge University Press: 31 March 2005

A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables for... Several methods for computing the posterior distribution of the number of cointegrating relations and distribution of the model parameters for a given number of relations are proposed, including an efficient Gibbs sampling approach where... Simulated data are used to illustrate the procedures and for discussing the well-known issue of local nonidentification.The author thanks Luc Bauwens, Anant Kshirsagar, Peter Phillips, Herman van Dijk, four anonymous referees, and especially Daniel... Financial support from the Swedish Council of Research in Humanities and Social Sciences (HSFR) grant F0582/1999 and Swedish Research Council (Vetenskapsrådet) grant 412-2002-1007 is gratefully acknowledged. The views expressed in this paper are solely the responsibility of the author and should not be interpreted as reflecting the views of the Executive Board of Sveriges Riksbank.

View all Google Scholar citations for this article. To send this article to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your... Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle. Find out more about saving to your Kindle. Note you can select to save to either the @free.kindle.com or @kindle.com variations.

‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

People Also Search

• PDF Bayesian Reference Analysis of Cointegration - JSTOR
• Bayes Reference Analysis of Cointegration | Request PDF
• PDF Bayesian Reference Analysis of Cointegration
• PDF Introduction BAYESIAN REFERENCE ANALYSIS OF - s u
• (PDF) Bayesian Reference Analysis of Cointegration
• PDF Introduction BAYESIAN REFERENCE ANALYSIS OF
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION - Semantic Scholar
• PDF Bayesian Factorized Cointegration Analysis
• Bayesian Reference Analysis of Cointegration
• Bayesian Reference Analysis of Cointegration on JSTOR