Valid Bayesian Estimation of the Cointegrating Error Correction Model
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Other versions of this item:
- Strachan, Rodney W, 2003. "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 185-195, January.
More about this item
KeywordsIdentification restrictions; singular value decomposition; error-correction model; cointegration; Bayesian analysis;
All these keywords.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2002-04-25 (Econometric Time Series)
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