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RATS program to demonstrate Gibbs sampling in a cointegrated model


  • Tom Doan

    () (Estima)


This is an example of the Gibbs sampling procedure for cointegrated models described in Koop, Leon-Gonzalez and Strachan(2010), "Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space", Econometric Reviews, vol. 29, no. 2, 224-242. This actually does just the flat prior, though adding the types of priors they describe isn't difficult.

Suggested Citation

  • Tom Doan, "undated". "RATS program to demonstrate Gibbs sampling in a cointegrated model," Statistical Software Components RTZ00187, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00187
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    Cointegration; Monte Carlo;


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