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Valid Bayesian Estimation of the Cointegrating Error Correction Model

  • Strachan, R.

Two methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansenos maximum likelihood procedure. That linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognised in several recent articles. As all Bayesian studies to date have used linear restrictions, this article presents a Bayesian method for obtaining estimates of cointegrating vectors that will always be valid.

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Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 6/00.

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Length: 31 pages
Date of creation: Jul 2000
Date of revision:
Handle: RePEc:msh:ebswps:2000-6
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