Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior

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Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior

Author Info

Martin, G.M.

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Gael Margaret Martin

Abstract

The concept of fractional cointegration, whereby deviations from an equilibrium relationship follow a fractionally integrated process, has attracted some attention of late. The extended concept allows cointegration to be associated with mean reversion in the error, rather than requiring the more stringent condition of stationarity. The paper presents a Bayesian method for conducting inference about fractional cointegration.

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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 5/97.

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Length: 32 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:msh:ebswps:1997-5

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Related research
Keywords: STATISTICS ; ECONOMETRICS;

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

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