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A Gibbs sampling approach to cointegration

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  • BAUWENS, Luc

    (Center for Operations Research and Econometrics (CORE), Université catholique de Louvain (UCL), Louvain la Neuve, Belgium)

  • GIOT, Pierre

    (Center for Operations Research and Econometrics (CORE), Université catholique de Louvain (UCL), Louvain la Neuve, Belgium)

Abstract

This paper reviews the application of Gibbs sampling to a cointegrated VAR system. Aggregate imports and import prices for Belgium are modelled using two cointegrating relations. Gibbs sampling techniques are used to estimate from a Bayesian perspective the cointegrating relations and their weights in the VAR system. Extensive use of spectral analysis is made to get insight into convergence issues.

Suggested Citation

  • BAUWENS, Luc & GIOT, Pierre, 1997. "A Gibbs sampling approach to cointegration," LIDAM Discussion Papers CORE 1997016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1997016
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    Cited by:

    1. Sugita, Katsuhiro, 2002. "Testing for Cointegration Rank Using Bayes Factors," Economic Research Papers 269467, University of Warwick - Department of Economics.
    2. Chew Lian Chua & Peter Summers, 2004. "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society.
    3. Gary Koop & Rodney Strachan & Herman van Dijk & Mattias Villani, 2004. "Bayesian Approaches to Cointegration," Discussion Papers in Economics 04/27, Division of Economics, School of Business, University of Leicester.
    4. Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.
    5. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
    6. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    7. Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
    8. Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen, 2010. "Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model," Papers 1004.3830, arXiv.org.

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