RATS program to demonstrate Gibbs sampling in a cointegrated model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: This is an example of the Gibbs sampling procedure for cointegrated models described in Koop, Leon-Gonzalez and Strachan(2010), "Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space", Econometric Reviews, vol. 29, no. 2, 224-242. This actually does just the flat prior, though adding the types of priors they describe isn't difficult.

Language: RATS
Requires: RATS 8.00
Keywords: Cointegration; Monte Carlo (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/koop_leon-gonzalez-strahan_er2010.zip (application/zip)

Related works:
Journal Article: Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00187

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