Valid Bayesian Estimation of the Cointegrating Error Correction Model
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.
|Date of creation:||Jul 2000|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 11E, Monash University, Victoria 3800, Australia|
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2000-6. 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: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.