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Bayesian analysis of the error correction model

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  • Strachan, Rodney W.
  • Inder, Brett

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  • Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.
    • Handle: RePEc:eee:econom:v:123:y:2004:i:2:p:307-325
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    1. 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 185-195, January.
    2. Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
    3. Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 514-551, August.
    4. Chikuse, Yasuko, 1990. "The matrix angular central Gaussian distribution," Journal of Multivariate Analysis, Elsevier, vol. 33(2), pages 265-274, May.
    5. Boswijk, H Peter, 1996. "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 153-160, April.
    6. Luukkonen, Ritva & Ripatti, Antti & Saikkonen, Pentti, 1999. "Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 195-204, April.
    7. BAUWENS, Luc & LUBRANO , Michel, 1994. "Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems," LIDAM Discussion Papers CORE 1994018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. BAUWENS, Luc & GIOT, Pierre, 1997. "A Gibbs sampling approach to cointegration," LIDAM Discussion Papers CORE 1997016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(6), pages 701-743, December.
    10. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
    11. Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November.
    12. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    14. Dreze, Jacques H., 1977. "Bayesian regression analysis using poly-t densities," Journal of Econometrics, Elsevier, vol. 6(3), pages 329-354, November.
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