EconPapers    
Economics at your fingertips  
 

Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems

Luc Bauwens () and Michel Lubrano ()

No 1994018, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We derive the postenor density of the cointegrating coetficients in a Gaussian VAR system. The density does not belong in general to a family of densities with known properties. If there is one cointegrating vector, the density belongs to the class of poly-t densities. It is integrable if the coefficients are identified and it has finite moments to the order of overidentification. The identifying restrictions we consider are linear restrictions on the cointegrating vectors. The structure or the posterior density is exploited to implement Monte Carlo integTi\tion nwthods that are needed when there is more than one cointegrating veetor. The paper contains two empirical illustrations.

Date: 1994-04-01
References: Add references at CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed

Downloads: (external link)
https://uclouvain.be/en/research-institutes/immaq/core/dp-1994.html (text/html)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: Identification restrictions and posterior densities in cointegrated Gaussian VAR system (1996)
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:cor:louvco:1994018

Access Statistics for this paper

More papers in CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().

 
Page updated 2019-06-24
Handle: RePEc:cor:louvco:1994018