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RATS program to demonstrate Gibbs sampling in a cointegrated model


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  • Tom Doan


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    This is an example of the Gibbs sampling procedure for cointegrated models described in Koop, Leon-Gonzalez and Strachan(2010), "Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space", Econometric Reviews, vol. 29, no. 2, 224-242. This actually does just the flat prior, though adding the types of priors they describe isn't difficult.

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    Bibliographic Info

    Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00187.

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    Programming language: RATS
    Requires: RATS 8.00
    Date of creation:
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    Handle: RePEc:boc:bocode:rtz00187

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    Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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    Related research

    Keywords: Cointegration; Monte Carlo;

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