Bayesian inference in a cointegrating panel data model

Koop, G., Leon-Gonzalez, R. and Strachan, R. (2008) Bayesian inference in a cointegrating panel data model. Advances in Econometrics, 23 433-469. doi:10.1016/S0731-9053(08)23013-6

Author Koop, G.
Leon-Gonzalez, R.
Strachan, R.
Title Bayesian inference in a cointegrating panel data model
Journal name Advances in Econometrics   Check publisher's open access policy
ISSN 0731-9053
ISBN 978-1-84855-308-8
Publication date 2008-01-01
Year available 2008
Sub-type Article (original research)
DOI 10.1016/S0731-9053(08)23013-6
Open Access Status
Volume 23
Start page 433
End page 469
Total pages 36
Editor Griffiths, W.E.
Place of publication U K
Publisher Emerald Group Publishing Limited
Language eng
Subject 140302 Econometric and Statistical Methods
140304 Panel Data Analysis
140305 Time-Series Analysis
970101 Expanding Knowledge in the Mathematical Sciences
Abstract This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and cointegration spaces. Furthermore, the parameters that characterize short-run dynamics and deterministic components are allowed to vary over cross-sectional units. In addition to a noninformative prior, we introduce an informative prior which allows for information about the likely location of the cointegration space and about the degree of similarity in coefficients in different cross-sectional units. A collapsed Gibbs sampling algorithm is developed which allows for efficient posterior inference. Our methods are illustrated using real and artificial data.
Keyword Business
Business & Economics
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: 2009 Higher Education Research Data Collection
School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 5 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 6 times in Scopus Article | Citations
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Created: Mon, 20 Apr 2009, 00:11:59 EST by Kaelene Matts on behalf of School of Economics