Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration

DOI10.1016/S0304-4076(02)00105-7zbMath1030.62018OpenAlexW2078836843MaRDI QIDQ1867740

Frank Kleibergen, Richard Paap

Publication date: 2 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00105-7

zbMATH Keywords

Bayes factorsCointegrationSingular value decompositionRank reduction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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