Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19
, which is shown to be equivalent to a Jeffreys' prior, has under an orthogonal normalization for the selection of pairs of … the Dow Jones Composite Average index. The results show that normalization has little effect on the selection of pairs of … cointegrated stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for …