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In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes...
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using Markov chain Monte Carlo techniques. …A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within …
Persistent link: https://www.econbiz.de/10010325721
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model …
Persistent link: https://www.econbiz.de/10010326026
analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited … handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated …
Persistent link: https://www.econbiz.de/10009636519
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The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model …
Persistent link: https://www.econbiz.de/10013143031
-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in …
Persistent link: https://www.econbiz.de/10013121913
implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an …
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