A Bayesian approach to modeling time-varying cointegration and cointegrating rank
Year of publication: |
Apri 2018
|
---|---|
Authors: | Chua, Chew Lian ; Tsiaplias, Sarantis |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 2, p. 267-277
|
Subject: | Cointegration tests | Error correction models | Singular value decomposition | TVP | Kointegration | Cointegration | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
-
Bayesian comparison of production function-based and time-series GDP models
Osiewalski, Jacek, (2020)
-
Bayesian rank selection in multivariate regression
Jiang, Bin, (2016)
-
Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping, (2014)
- More ...
-
Predicting economic contractions and expansions with the aid of professional forecasts
Chua, Chew Lian, (2011)
-
Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?
Chua, Chew Lian, (2011)
-
Bank and Official Interest Rates: How Do They Interact over Time?
Lim, G. C., (2013)
- More ...