We derive the postenor density of the cointegrating coetficients in a Gaussian VAR system. The density does not belong in general to a family of densities with known properties. If there is one cointegrating vector, the density belongs to the class of poly-t densities. It is integrable if the...

We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the diffculties of simulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple...