Bayesian analysis of the error correction model

Strachan, RW and Inder, B (2004) Bayesian analysis of the error correction model. Journal of Econometrics, 123 2: 307-325. doi:10.1016/j.jeconom.2003.12.004

Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads

Author Strachan, RW
Inder, B
Title Bayesian analysis of the error correction model
Journal name Journal of Econometrics   Check publisher's open access policy
ISSN 0304-4076
Publication date 2004
Sub-type Article (original research)
DOI 10.1016/j.jeconom.2003.12.004
Volume 123
Issue 2
Start page 307
End page 325
Total pages 19
Place of publication Lausanne
Publisher Elsevier Science Sa
Language eng
Abstract This paper presents a method for estimating the posterior probability density of the cointegrating rank of a multivariate error correction model. A second contribution is the careful elicitation of the prior for the cointegrating vectors derived from a prior on the cointegrating space. This prior obtains naturally from treating the cointegrating space as the parameter of interest in inference and overcomes problems previously encountered in Bayesian cointegration analysis. Using this new prior and Laplace approximation, an estimator for the posterior probability of the rank is given. The approach performs well compared with information criteria in Monte Carlo experiments. (C) 2003 Elsevier B.V. All rights reserved.
Keyword Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Posterior Probability
Grassman Manifold
Stiefel Manifold
Error Correction Model
Cointegrating Vectors
Marginal Densities
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collections: Excellence in Research Australia (ERA) - Collection
School of Economics Publications
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 25 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 31 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Mon, 13 Aug 2007, 14:41:07 EST