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Bayesian Model Selection in the Analysis of Cointegration

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Author Info
Justyna Wróblewska () (Cracow University of Economics)
Abstract

In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on the collapsed Gibbs sampler. The presented methods are applied to the analysis of the price - wage mechanism in the Polish economy.

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Publisher Info
Article provided by Polish Academy of Sciences, The Lodz Branch in its journal Central European Journal of Economic Modelling and Econometrics.

Volume (Year): 1 (2009)
Issue (Month): 1 (March)
Pages: 57-69
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Handle: RePEc:psc:journl:v:1:y:2009:i:1:p:57-69

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Web page: http://cejeme.org/

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Related research
Keywords: cointegration; Bayesian analysis; Grassmann manifold; Stiefel manifold; posterior probability;

Other versions of this item:

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

References listed on IDEAS
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  1. Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December. [Downloadable!] (restricted)
  2. Urbain, Jean-Pierre, 1992. "On Weak Exogeneity in Error Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(2), pages 187-207, May.
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  3. Chikuse, Yasuko, 1990. "The matrix angular central Gaussian distribution," Journal of Multivariate Analysis, Elsevier, vol. 33(2), pages 265-274, May. [Downloadable!] (restricted)
  4. Welfe, Aleksander & Majsterek, Michal, 2002. " Wage and Price Inflation in Poland in the Period of Transition: The Cointegration Analysis," Economic Change and Restructuring, Springer, vol. 35(3), pages 205-19. [Downloadable!] (restricted)
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This page was last updated on 2009-11-25.

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