A Gibbs sampling approach to cointegration
Luc Bauwens () and
Pierre Giot ()
No 1997016, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
This paper reviews the application of Gibbs sampling to a cointegrated VAR system. Aggregate imports and import prices for Belgium are modelled using two cointegrating relations. Gibbs sampling techniques are used to estimate from a Bayesian perspective the cointegrating relations and their weights in the VAR system. Extensive use of spectral analysis is made to get insight into convergence issues.
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Working Paper: Gibbs sampling approach to cointegration (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1997016
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