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Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems


  • BAUWENS, Luc

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

  • LUBRANO , Michel



We derive the postenor density of the cointegrating coetficients in a Gaussian VAR system. The density does not belong in general to a family of densities with known properties. If there is one cointegrating vector, the density belongs to the class of poly-t densities. It is integrable if the coefficients are identified and it has finite moments to the order of overidentification. The identifying restrictions we consider are linear restrictions on the cointegrating vectors. The structure or the posterior density is exploited to implement Monte Carlo integTi\tion nwthods that are needed when there is more than one cointegrating veetor. The paper contains two empirical illustrations.

Suggested Citation

  • BAUWENS, Luc & LUBRANO , Michel, 1994. "Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems," CORE Discussion Papers 1994018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:1994018

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    1. repec:sbe:breart:v:25:y:2005:i:2:a:2503 is not listed on IDEAS
    2. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden).
    3. Rault, Christophe, 2005. "Further Results on Weak Exogeneity in Vector Error Correction Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
    4. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
    5. Jim Malley & Ulrich Woitek, 2011. "Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital," CESifo Working Paper Series 3567, CESifo Group Munich.
    6. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    7. Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November.
    8. Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
    9. Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen, 2010. "Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model," Papers 1004.3830,
    10. Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.
    11. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
    12. 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.
    13. Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
    14. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, vol. 134(2), pages 645-664, October.
    15. Efthymios Tsionas, 2003. "Inflation and Productivity in Europe: An Empirical Investigation," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(1), pages 39-62, March.
    16. Ossama Mikhail, 2005. "What Happens After A Technology Shock? A Bayesian Perspective," Macroeconomics 0510016, EconWPA.
    17. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    18. Villani, Mattias, 2001. "Bayesian prediction with cointegrated vector autoregressions," International Journal of Forecasting, Elsevier, vol. 17(4), pages 585-605.

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