Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior

Gael Martin

No 5/97, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: The concept of fractional cointegration, whereby deviations from an equilibrium relationship follow a fractionally integrated process, has attracted some attention of late. The extended concept allows cointegration to be associated with mean reversion in the error, rather than requiring the more stringent condition of stationarity. The paper presents a Bayesian method for conducting inference about fractional cointegration.

Keywords: STATISTICS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C11 C32 (search for similar items in EconPapers)
Pages: 32 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:msh:ebswps:1997-5

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().