In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

We obtain invariant expressions for prior probabilities and priors onthe parameters of nested regression models that are induced by aprior on the parameters of an encompassing linear regression model.The invariance is with respect to specifications that satisfy anecessary set of assumptions....

Using the standard linear model as a base, a unified theory of Bayesian Analysis 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