Bayesian analysis of the error correction model

DOI10.1016/j.jeconom.2003.12.004zbMath1085.62034OpenAlexW1963540486MaRDI QIDQ1886286

Rodney W. Strachan, Brett A. Inder

Publication date: 18 November 2004

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.004

zbMATH Keywords

Stiefel manifoldCointegrationGrassman manifoldError correction modelPosterior probability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)

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