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Valid Bayesian estimation of the cointegrating error correction model

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journal contribution
posted on 05.06.2017, 06:25 by Strachan, Rodney W
Two methods of identifying cointegrating vectors are commonly used linear restrictions and the nonlinear method of Johansen's maximum likelihood procedure. That the linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognised in several recent articles. As 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.

History

Year of first publication

2000

Series

Department of Econometrics and Business Statistics

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