Bayesian Inference of General Linear Restrictions on the Cointegration Space
نویسندگان
چکیده
منابع مشابه
A Bayesian Approach to Restrictions on the Cointegration Space
The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the analysis of cointegration. Historically, this question has been answered by classical testing of over-identifying restrictions on the cointegration space. This paper introduces an exact finite sample Bayesian procedure to calculate the posterior probability of restrictions on ...
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چکیده ندارد.
15 صفحه اولTesting General Restrictions on the Cointegrating Space
This paper considers identification and estimation of cointegration analysis under general restrictions on the cointegrating space. A solution is found to the identification problem and made operational. An algorithm for estimation is discussed. Some examples illustrate.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.980872