Koop, Gary; Strachan, Rodney; León-González, Roberto - Department of Economics, Leicester University - 2005
A message coming out of the recent Bayesian literature on cointegration is that it is important to elicit a prior on the space spanned by the cointegrating vectors (as opposed to a particular identified choice for these vectors). In this note, we discuss a sensible way of eliciting such a prior....
