IDEAS home Printed from https://ideas.repec.org/p/eui/euiwps/eco2011-14.html
   My bibliography  Save this paper

Adapting the Litterman prior for cointegrated VARs

Author

Listed:
  • Michal Markun

Abstract

The paper presents a novel prior for Bayesian VAR models, characterized by explicit modelling of cointegration that avoids certain unattractive restrictive properties of the priors used previously. The potential of the prior for easy elicitation from the well-established Litterman beliefs is demonstrated. An efficient procedure for sampling from posterior distribution is provided. The favourable outcome of the forecast comparison exercise gives further support for the use of the methods proposed.

Suggested Citation

  • Michal Markun, 2011. "Adapting the Litterman prior for cointegrated VARs," Economics Working Papers ECO2011/14, European University Institute.
  • Handle: RePEc:eui:euiwps:eco2011/14
    as

    Download full text from publisher

    File URL: http://cadmus.eui.eu/bitstream/handle/1814/17214/ECO_2011_14.pdf?sequence=1
    File Function: main text
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eui:euiwps:eco2011/14. 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: (Julia Valerio). General contact details of provider: http://edirc.repec.org/data/deiueit.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.