cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and … and Velasco (for cointegration strength >0.5) and Avarucci and Velasco (for cointegration strength <0.5). Therefore our …

) processes. The linear VAR model is extended to permit cointegration, a range of deterministic processes, equilibrium …

cointegrations. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues …. In this paper we develop a new time varying parameter model which permits cointegration. We use a specification which …

with a switching intercept term. Of course, this likely leads to a rejection of cointegration by standard tests and to the …

A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is the point estimation of … the cointegration space. It is pointed out here that, due to the well known non-identification of the cointegration … usual decision theoretic foundation. We present a Bayes estimator of the cointegration space which takes the curved geometry …

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …