Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space

DOI10.1080/07474930903382208zbMath1185.62157OpenAlexW2054127730MaRDI QIDQ3557578

Gary Koop, Roberto Leon-Gonzalez, Rodney W. Strachan

Publication date: 23 April 2010

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930903382208

zbMATH Keywords

Markov chain Monte CarloBayesianreduced rank regressionerror correction modelcollapsed Gibbs samplerparameter-augmentation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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