Bayesian Model Selection in the Analysis of Cointegration

In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on the collapsed Gibbs sampler. The presented methods are applied to the analysis of the price - wage mechanism in the Polish economy.

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Year of publication:	2009
Authors:	Wróblewska, Justyna
Published in:	Central European Journal of Economic Modelling and Econometrics. - CEJEME. - Vol. 1.2009, 1, p. 57-69
Publisher:	CEJEME
Subject:	cointegration \| Bayesian analysis \| Grassmann manifold \| Stiefel manifold \| posterior probability

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C11 - Bayesian Analysis ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005064791