Valid Bayesian Estimation of the Cointegrating Error Correction Model

Rodney Strachan

No 6/00, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Two methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansenos maximum likelihood procedure. That linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognised in several recent articles. As all Bayesian studies to date have used linear restrictions, this article presents a Bayesian method for obtaining estimates of cointegrating vectors that will always be valid.

Keywords: Identification restrictions; singular value decomposition; error-correction model; cointegration; Bayesian analysis (search for similar items in EconPapers)
JEL-codes: C10 C51 C52 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2000-07
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Valid Bayesian Estimation of the Cointegrating Error Correction Model (2003)
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