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 vectors, the parameter space is not an inner product space...

A complete procedure for calculating the joint predictive distribution of future observations based on the cointegrated vector autoregression is presented. The large degree of uncertainty in the choise of the cointegration vectors is incorporated into the analysis through a prior distribution on...

In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. We find that...

We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...