Add to ORKGThis article considers a Bayesian testing for cointegration rank, using an approach developed by Strachan and van Dijk (2007), that is based on Koop, Leon-Gonzalez, and Strachan (2006). The Bayes factors are calculated for selecting cointegrating rank. We calculate the Bayes factors using two methods - the Schwarz BIC approximation and Chib's (1995) algorithm for calculating the marginal likelihood. We run Monte Carlo simulations to compare the two methods.
This paper presents a method for estimating the posterior probability density of the cointegrating r...
This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary ...
To estimate causal relationships, time series econometricians must be aware of spurious correlation,...
This article considers a Bayesian testing for cointegration rank, using an approach developed by Str...
This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We ...
This paper develops methods of Bayesian inference in a cointegrating panel data model. This model in...
In this article a method for joint estimation of the number of stochastic trends and the determinist...
To estimate causal relationships, time series econometricians must be aware of spurious correlation,...
We develop methods for Bayesian inference in vector error correction models which are subject to a v...
We develop methods for Bayesian inference in vector error correction models which are subject to a v...
This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We c...
We develop a Bayesian cointegration test statistic that can be used under a Jeffreys' prior. The tes...
In this paper we present the Bayesian model selection procedure within the class of cointegrated pro...
We consider multivariate time series that exhibit reduced rank cointegration, which means a lower di...
textabstractCointegration occurs when the long run multiplier of a vector autoregressive model exhib...
This paper presents a method for estimating the posterior probability density of the cointegrating r...
This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary ...
To estimate causal relationships, time series econometricians must be aware of spurious correlation,...
This article considers a Bayesian testing for cointegration rank, using an approach developed by Str...
This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We ...
This paper develops methods of Bayesian inference in a cointegrating panel data model. This model in...
In this article a method for joint estimation of the number of stochastic trends and the determinist...
To estimate causal relationships, time series econometricians must be aware of spurious correlation,...
We develop methods for Bayesian inference in vector error correction models which are subject to a v...
We develop methods for Bayesian inference in vector error correction models which are subject to a v...
This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We c...
We develop a Bayesian cointegration test statistic that can be used under a Jeffreys' prior. The tes...
In this paper we present the Bayesian model selection procedure within the class of cointegrated pro...
We consider multivariate time series that exhibit reduced rank cointegration, which means a lower di...
textabstractCointegration occurs when the long run multiplier of a vector autoregressive model exhib...
This paper presents a method for estimating the posterior probability density of the cointegrating r...
This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary ...
To estimate causal relationships, time series econometricians must be aware of spurious correlation,...