A Monte Carlo comparison of Bayesian testing for cointegration rank

Katsuhiro Sugita ()
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Katsuhiro Sugita: Faculty of Law and Letters, University of the Ryukyus

Economics Bulletin, 2009, vol. 29, issue 3, 2145-2151

Abstract: This article considers a Bayesian testing for cointegration rank, using an approach developed by Strachan and van Dijk (2007), that is based on Koop, Leon-Gonzalez, and Strachan (2006). The Bayes factors are calculated for selecting cointegrating rank. We calculate the Bayes factors using two methods - the Schwarz BIC approximation and Chib's (1995) algorithm for calculating the marginal likelihood. We run Monte Carlo simulations to compare the two methods.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2009-09-02
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Citations: View citations in EconPapers (3)

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