Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior.

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.

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Year of publication:	1997
Authors:	Martin, G.M.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	STATISTICS \| ECONOMETRICS

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 5/97 32 pages
Classification:	C11 - Bayesian Analysis ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005149058