Valid Bayesian Estimation of the Cointegrating Error Correction Model
AbstractTwo methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansenos maximum likelihood procedure. That linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognised in several recent articles. As all Bayesian studies to date have used linear restrictions, this article presents a Bayesian method for obtaining estimates of cointegrating vectors that will always be valid.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 6/00.
Length: 31 pages
Date of creation: Jul 2000
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Other versions of this item:
- Strachan, Rodney W, 2003. "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 185-95, January.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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