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Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model

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Author Info
Rodney W. Strachan

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Abstract

This paper generalizes the cointegrating model of Phillips (1991) to allow for I (0), I (1) and I (2) processes. The model has a simple form that permits a wider range of I (2) processes than are usually considered, including a more flexible form of polynomial cointegration. Further, the specification relaxes restrictions identified by Phillips (1991) on the I (1) and I (2) cointegrating vectors and restrictions on how the stochastic trends enter the system. To date there has been little work on Bayesian I (2) analysis and so this paper attempts to address this gap in the literature. A method of Bayesian inference in potentially I (2) processes is presented with application to Australian money demand using a Jeffreys prior and a shrinkage prior.

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Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 26 (2007)
Issue (Month): 2-4 ()
Pages: 439-468
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Handle: RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:439-468

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Related research
Keywords: Cointegration; Bayesian; I(2)+Analysis> I(2) Analysis; Money demand;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105. [Downloadable!]
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  2. Centoni, Marco & Cubadda, Gianluca, 2003. "Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series," Economics Letters, Elsevier, vol. 80(1), pages 45-51, July. [Downloadable!] (restricted)
  3. Kleibergen, F.R. & Van Dijk, H.K., 1993. "On the Shape of the Likelyhood/Posterior in Cointegration Models," Papers 9315-a, Erasmus University of Rotterdam - Econometric Institute.
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  4. Dimitris A. Georgoutsos & Georgios P. Kouretas, 2004. "A Multivariate I (2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor and Francis Journals, vol. 14(1), pages 29-41, January. [Downloadable!] (restricted)
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  5. Boswijk, H Peter, 1996. "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 153-60, April.
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