Gibbs sampling approach to cointegration
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Abstract
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Suggested Citation
Note: In : Computational Statistics, 13 (3), 339-368, 1998
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Other versions of this item:
- 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).
Citations
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Cited by:
- Chew Lian Chua & Peter Summers, 2004. "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society.
- Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
- 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.
- Andrea Silvestrini, 2010.
"Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration,"
Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
- Andrea, SILVESTRINI, 2007. "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Discussion Papers (ECON - Département des Sciences Economiques) 2007040, Université catholique de Louvain, Département des Sciences Economiques.
- SILVESTRINI, Andrea, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Reprints CORE 2220, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- SILVESTRINI, Andrea, 2007. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Discussion Papers CORE 2007080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Sugita, Katsuhiro, 2002. "Testing for Cointegration Rank Using Bayes Factors," Economic Research Papers 269467, University of Warwick - Department of Economics.
- 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.
- Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M., 2005. "Bayesian approaches to cointegratrion," Econometric Institute Research Papers EI 2005-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.
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