RATS program to demonstrate Gibbs sampling in a cointegrated model
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.
|Date of creation:|
|Date of revision:|
|Note:||RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml|
|Contact details of provider:|| Postal: |
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rtz00187. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.