Bayesian Model Selection in the Analysis of Cointegration

Justyna Wróblewska ()

Central European Journal of Economic Modelling and Econometrics, 2009, vol. 1, issue 1, 57-69

Abstract: In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on the collapsed Gibbs sampler. The presented methods are applied to the analysis of the price - wage mechanism in the Polish economy.

Keywords: cointegration; Bayesian analysis; Grassmann manifold; Stiefel manifold; posterior probability (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://cejeme.org/publishedarticles/2009-40-31-633740820376533955-2684.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:1:y:2009:i:1:p:57-69

Access Statistics for this article

More articles in Central European Journal of Economic Modelling and Econometrics from Central European Journal of Economic Modelling and Econometrics
Bibliographic data for series maintained by Damian Jelito ().