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Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space

Citations

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Cited by:

  1. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011. "Bayesian inference in a time varying cointegration model," Journal of Econometrics, Elsevier, vol. 165(2), pages 210-220.
  2. Luca Benati & Thomas A. Lubik, 2021. "Searching for Hysteresis," Working Paper 21-03, Federal Reserve Bank of Richmond.
  3. Karlsson, Sune, 2013. "Forecasting with Bayesian Vector Autoregression," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897, Elsevier.
  4. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney, 2012. "Bayesian model averaging in the instrumental variable regression model," Journal of Econometrics, Elsevier, vol. 171(2), pages 237-250.
  5. Jacek Osiewalski & Justyna Wróblewska & Kamil Makieła, 2020. "Bayesian comparison of production function-based and time-series GDP models," Empirical Economics, Springer, vol. 58(3), pages 1355-1380, March.
  6. Jochmann Markus & Koop Gary, 2015. "Regime-switching cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 35-48, February.
  7. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
  8. Katsuhiro Sugita, 2017. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 49-56, March.
  9. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
  10. Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
  11. Christian Aßmann & Jens Boysen-Hogrefe & Markus Pape, 2024. "Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(3), pages 577-609, September.
  12. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
  13. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper series 18-37, Rimini Centre for Economic Analysis.
  14. Krzysztof Osiewalski & Jacek Osiewalski, 2013. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 65-83, March.
  15. Justyna Wróblewska, 2012. "Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(4), pages 253-267, December.
  16. Dąbrowski, Marek A. & Wróblewska, Justyna, 2020. "Insulating property of the flexible exchange rate regime: A case of Central and Eastern European countries," International Economics, Elsevier, vol. 162(C), pages 34-49.
  17. Peter McAdam & Kostas Mouratidis & Theodore Panagiotidis & Georgios Papapanagiotou, 2023. "European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility," Working Paper series 23-12, Rimini Centre for Economic Analysis.
  18. Dąbrowski, Marek A. & Wróblewska, Justyna, 2016. "Exchange rate as a shock absorber in Poland and Slovakia: Evidence from Bayesian SVAR models with common serial correlation," Economic Modelling, Elsevier, vol. 58(C), pages 249-262.
  19. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
  20. Doojav, Gan-Ochir & Purevdorj, Munkhbayar & Batjargal, Anand, 2024. "The macroeconomic effects of exchange rate movements in a commodity-exporting developing economy," International Economics, Elsevier, vol. 177(C).
  21. Sylvia Kaufmann & Johann Scharler, 2013. "Bank-Lending Standards, Loan Growth and the Business Cycle in the Euro Area," Working Papers 2013-34, Faculty of Economics and Statistics, Universität Innsbruck.
  22. Justyna Wróblewska & Anna Pajor, 2019. "One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(1), pages 23-45, March.
  23. Murasawa Yasutomo, 2022. "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 387-415, June.
  24. Justyna Wróblewska, 2015. "Common Trends and Common Cycles – Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(2), pages 91-110, June.
  25. Justyna Wróblewska, 2009. "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 57-69, March.
  26. Dąbrowski, Marek A. & Wróblewska, Justyna, 2015. "Exchange rate as a shock absorber or a shock propagator in Poland and Slovakia - an approach based on Bayesian SVAR models with common serial correlation," MPRA Paper 61441, University Library of Munich, Germany.
  27. Justyna Wróblewska, 2011. "Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(3), pages 169-186, September.
  28. Anna Pajor & Justyna Wróblewska & Łukasz Kwiatkowski & Jacek Osiewalski, 2024. "Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?," International Statistical Review, International Statistical Institute, vol. 92(1), pages 62-86, April.
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