Structural Error Correction Model: A Bayesian Perspective
AbstractThis paper proposes a Structural Error Correction Model (SECM) that allows concurrent estimation of the structural parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of cointegration in the ECM, and the Bayesian methods of Waggoner and Zha (2003) for estimating the structural parameters in BSVAR into our proposed model. Empirically, we apply the SCEM to four data generating processes, each with a different number of cointegrating vector. The results show that in each of the DGPs, the Bayes factors are able to select the appropriate cointegrating vectors and the estimated marginal posterior parametersâ€™ pdfs cover the actual values. Key words: structural error correction model
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 702.
Date of creation: 11 Aug 2004
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structural error correction model; cointegration; Bayesian; structural parameters; singular value decomposition.;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
- NEP-ECM-2004-10-30 (Econometrics)
- NEP-ETS-2004-10-30 (Econometric Time Series)
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