Bayesian inference in the triangular cointegration model using a jeffreys prior

DOI10.1080/03610920008832577zbMath1023.62036OpenAlexW2075498446MaRDI QIDQ4541744

Gael M. Martin, Vance L. Martin

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920008832577

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox, Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model, Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration

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