Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model

Rodney Strachan

Econometric Reviews, 2007, vol. 26, issue 2-4, 439-468

Abstract: This paper generalizes the cointegrating model of Phillips (1991) to allow for I (0), I (1) and I (2) processes. The model has a simple form that permits a wider range of I (2) processes than are usually considered, including a more flexible form of polynomial cointegration. Further, the specification relaxes restrictions identified by Phillips (1991) on the I (1) and I (2) cointegrating vectors and restrictions on how the stochastic trends enter the system. To date there has been little work on Bayesian I (2) analysis and so this paper attempts to address this gap in the literature. A method of Bayesian inference in potentially I (2) processes is presented with application to Australian money demand using a Jeffreys prior and a shrinkage prior.

Keywords: Cointegration; Bayesian; I (2) Analysis; Money demand (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474930701220618 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model (2005)
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:taf:emetrv:v:26:y:2007:i:2-4:p:439-468

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474930701220618

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().