A numerical Bayesian test for cointegration of AR processes

DOI10.1016/0304-4076(94)01619-BzbMath0813.62096OpenAlexW2089129252MaRDI QIDQ1347107

Jeffrey H. Dorfman

Publication date: 6 June 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01619-b

zbMATH Keywords

foreign exchange ratescointegrationprior informationBayesian Monte Carlo techniqueslag lengthnonstationary rootsposterior odds ratio test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space ⋮ Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration

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