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Bayesian Model Selection in the Analysis of Cointegration

Author

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  • Justyna Wróblewska

    (Cracow University of Economics)

Abstract

In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on the collapsed Gibbs sampler. The presented methods are applied to the analysis of the price - wage mechanism in the Polish economy.

Suggested Citation

  • Justyna Wróblewska, 2009. "Bayesian Model Selection in the Analysis of Cointegration," Working Papers 32, Department of Applied Econometrics, Warsaw School of Economics.
    • Handle: RePEc:wse:wpaper:32
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    File URL: http://cejeme.org/publishedarticles/2009-40-31-633740820376533955-2684.pdf
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    More about this item

    Keywords

    cointegration; Bayesian analysis; Grassmann manifold; Stiefel manifold; posterior probability;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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