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Bayesian Reference Analysis Of Cointegration

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  • Villani, Mattias

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 21 (2005)
Issue (Month): 02 (April)
Pages: 326-357

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Handle: RePEc:cup:etheor:v:21:y:2005:i:02:p:326-357_05

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Cited by:
  1. Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, Springer, vol. 39(1), pages 241-274, August.
  2. Radchenko, Stanislav & Tsurumi, Hiroki, 2006. "Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market," Journal of Econometrics, Elsevier, Elsevier, vol. 133(1), pages 31-49, July.
  3. Villani, Mattias & Warne, Anders, 2003. "Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs," Working Paper Series 156, Sveriges Riksbank (Central Bank of Sweden).
  4. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers, European University Institute ECO2011/30, European University Institute.
  5. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
  6. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series, European Central Bank 0692, European Central Bank.
  7. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  8. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
  9. Kociecki, Andrzej, 2012. "Orbital Priors for Time-Series Models," MPRA Paper 42804, University Library of Munich, Germany.
  10. Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.
  11. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, Elsevier, vol. 134(2), pages 645-664, October.

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