Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed. This is achieved by defining (natural conjugate) priors in the linear model and using the implied priors for the cointegration model. Using these priors, posterior results for...

Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed. This is achieved by defining (natural conjugate) priors in the linear model and using the implied priors for the cointegration model. Using these priors, posterior results for...