Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
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DOI: 10.1080/07474930903382208
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- Tom Doan, "undated". "RATS program to demonstrate Gibbs sampling in a cointegrated model," Statistical Software Components RTZ00187, Boston College Department of Economics.
- Gary Koop & Roberto León-González & Rodney W. Strachan, 2005. "Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space," Discussion Papers in Economics 05/13, Division of Economics, School of Business, University of Leicester, revised Apr 2006.
References listed on IDEAS
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Cited by:
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011.
"Bayesian inference in a time varying cointegration model,"
Journal of Econometrics,
Elsevier, vol. 165(2), pages 210-220.
- Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "Bayesian Inference in the Time Varying Cointegration Model," Working Paper series 23_08, Rimini Centre for Economic Analysis.
- Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Inference in the Time Varying Cointegration Model," Working Papers 1121, University of Strathclyde Business School, Department of Economics.
- Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Bayesian Inference in a Time Varying Cointegration Model," CAMA Working Papers 2011-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gary Koop & Roberto Leon Gonzalez & Rodney W. Strachan, 2008. "Bayesian Inference in the Time Varying Cointegration Model," GRIPS Discussion Papers 08-01, National Graduate Institute for Policy Studies.
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2008. "Bayesian Inference in the Time Varying Cointegration Model," SIRE Discussion Papers 2008-60, Scottish Institute for Research in Economics (SIRE).
- Sylvia Kaufmann & Johann Scharler, 2013. "Bank-Lending Standards, Loan Growth and the Business Cycle in the Euro Area," Working Papers 2013-34, Faculty of Economics and Statistics, University of Innsbruck.
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"Forecasting with Bayesian Vector Autoregression,"
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- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney, 2012.
"Bayesian model averaging in the instrumental variable regression model,"
Journal of Econometrics,
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- Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Model Averaging in the Instrumental Variable Regression Model," Working Paper series 09_11, Rimini Centre for Economic Analysis, revised Aug 2012.
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney, 2011. "Bayesian Model Averaging in the Instrumental Variable Regression Model," SIRE Discussion Papers 2011-23, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Robert Leon Gonzalez & Rodney Strachan, 2011. "Bayesian Model Averaging in the Instrumental Variable Regression Model," GRIPS Discussion Papers 10-32, National Graduate Institute for Policy Studies.
- Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Model Averaging in the Instrumental Variable Regression Model," Working Papers 1112, University of Strathclyde Business School, Department of Economics.
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"Regime-switching cointegration,"
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- Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Papers 1125, University of Strathclyde Business School, Department of Economics.
- Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
- Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-36, Scottish Institute for Research in Economics (SIRE).
- Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Paper series 40_11, Rimini Centre for Economic Analysis.
- Katsuhiro Sugita, 2017. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 49-56, March.
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- Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.
- Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018.
"Reducing Dimensions in a Large TVP-VAR,"
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- Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan, 2018. "Reducing dimensions in a large TVP-VAR," CAMA Working Papers 2018-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Justyna Wróblewska, 2015. "Common Trends and Common Cycles – Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 7(2), pages 91-110, June.
- Krzysztof Osiewalski & Jacek Osiewalski, 2013. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(1), pages 65-83, March.
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