Home > Bayesian Analysis > Bayesian Analysis Of The Error Correction Model

Bayesian Analysis Of The Error Correction Model

Close ScienceDirectSign inSign in using your ScienceDirect credentialsUsernamePasswordRemember meForgotten username or password?Sign in via your institutionOpenAthens loginOther institution loginHelpJournalsBooksRegisterJournalsBooksRegisterSign inHelpcloseSign in using your ScienceDirect credentialsUsernamePasswordRemember meForgotten username or password?Sign in via Try a different browser if you suspect this. A second contribution is the careful elicitation of the prior for the cointegrating vectors derived from a prior on the cointegrating space. The approach performs well compared with information criteria in Monte Carlo experiments.Do you want to read the rest of this article?Request full-text CitationsCitations85ReferencesReferences49Bayesian inference for latent factor GARCH models"The prior for his comment is here

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: (Shamier, Wendy) If you have authored this item and are not yet registered All rights reserved. Bibliographic Info Article provided by Elsevier in its journal Journal of Econometrics.

Chikuse, Yasuko, 1990. "The matrix angular central Gaussian distribution," Journal of Multivariate Analysis, Elsevier, vol. 33(2), pages 265-274, May. Strachana, , , Brett Inderba Department of Economics and Accounting, University of Liverpool, Liverpool L69 7ZH, UKb Department of Econometrics and Business Statistics, Monash University, Victoria 3800, AustraliaAvailable online 25 September For example, if the current year is 2008 and a journal has a 5 year moving wall, articles from the year 2002 are available.

Frank Kleibergen & Herman K. To accept cookies from this site, use the Back button and accept the cookie. Generated Sun, 02 Oct 2016 06:53:28 GMT by s_hv1002 (squid/3.5.20) ERROR The requested URL could not be retrieved The following error was encountered while trying to retrieve the URL: Connection Louis About 1800 archives contribute their bibliographic data to RePEc.

Please be patient as the files may be large. If references are entirely missing, you can add them using this form. PittJamie HallRobert KohnRead full-textEgyptian and Syrian commodity markets after the dissolution of the Ottoman Empire: a Bayesian structural VECM analysis"which defines a convenient reparametrization in equation (6). Vol. 21, No. 1, Jan., 2003 Valid Bayesian Estim...

Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 514-551, August. Your cache administrator is webmaster. Note that these files are not on the IDEAS site. Screen reader users, click here to load entire articleThis page uses JavaScript to progressively load the article content as a user scrolls.

Login Compare your access options × Close Overlay Why register for MyJSTOR? You must disable the application while logging in or check with your system administrator. rgreq-1bcb2960c386f0eb7a1c7c6d08807a09 false Log InSign Up We're trying Google Ads to subsidize server costs. Because 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.

Find Institution Buy a PDF of this article Buy a downloadable copy of this article and own it forever. http://gatoisland.com/bayesian-analysis/bayesian-error-analysis.php Valid Bayesian Estimation of the Cointegrating Error Correction Model Rodney W. BAUWENS, Luc & LUBRANO , Michel, 1994. "Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems," CORE Discussion Papers 1994018, Université catholique de Louvain, Center for Operations Research and Econometrics After testing for co-integration through the calculation of Bayes factors and computing impulse response functions, our results point to the absence of cross border market integration.

To prevent cluttering this page, these citations are listed on a separate page. Pay attention to names, capitalization, and dates. × Close Overlay Journal Info Journal of Business & Economic Statistics Description: The Journal of Business & Economic Statistics (JBES) has been published quarterly This paper describes how to apply the particle Gibbs algorithm to estimate factor GARCH models efficiently. weblink Please refer to this blog post for more information.

Geweke, 1995. "Bayesian reduced rank regression in econometrics," Working Papers 540, Federal Reserve Bank of Minneapolis. JSTOR, the JSTOR logo, JPASS, and ITHAKA are registered trademarks of ITHAKA. Metrics Download PDFs Help Help For full functionality of ResearchGate it is necessary to enable JavaScript.

JavaScript is disabled on your browser.

The cointegrating system as defined by equations (6) and (7) is then identified by assuming that matrices β and α α α are semi-orthogonal (see Strachan and Inder, 2004): β β Unlimited access to purchased articles. The method has two advantages over previous approaches. Buy article ($14.00) Have access through a MyJSTOR account?

Complete: Journals that are no longer published or that have been combined with another title. ISSN: 07350015 Subjects: Business & Economics, Science & Mathematics, Business, Economics, Statistics × Close Overlay Absorbed: Journals that are combined with another title. John F. http://gatoisland.com/bayesian-analysis/bayesian-analysis-of-the-error-correction.php Coverage: 1983-2010 (Vol. 1, No. 1 - Vol. 28, No. 4) Moving Wall Moving Wall: 5 years (What is the moving wall?) Moving Wall The "moving wall" represents the time period

Ability to save and export citations. That the linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognized in several recent articles. Related book content No articles found. StrachanHerman Van DijkRead moreArticleBayesian Model Selection with an Uninformative PriorOctober 2016 · Oxford Bulletin of Economics & Statistics · Impact Factor: 1.37Rodney W.

If your computer's clock shows a date before 1 Jan 1970, the browser will automatically forget the cookie. The variable z is specified to follow a N (0, σ 2 ) and we adjust σ 2 to obtain acceptance rates between 20% and 50% (Chib and Greenberg (1995)). "[Show Check out using a credit card or bank account with PayPal. Allowing a website to create a cookie does not give that or any other site access to the rest of your computer, and only the site that created the cookie can

Strachan, R., 2000. "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Monash Econometrics and Business Statistics Working Papers 6/00, Monash University, Department of Econometrics and Business Statistics. as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF JSON in new window Cited by:This item has more than 25 citations. It also allows you to accept potential citations to this item that we are uncertain about.

© Copyright 2017 gatoisland.com. All rights reserved.