A Gibbs sampling approach to cointegration

zbMath0922.62085MaRDI QIDQ1297860

Pierre Giot, Luc Bauwens

Publication date: 14 September 1999

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

cointegrationGibbs samplingvector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (1)

Bayesian analysis of the error correction model

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