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.
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