Abstract

http://ssrn.com/abstract=59749
 


 



Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analysis of Cointegration


Frank R. Kleibergen


Brown University - Department of Economics

Richard Paap


Erasmus University Rotterdam (EUR) - Department of Econometrics; Tinbergen Institute; Erasmus Research Institute of Management (ERIM)

1996

Erasmus University of Rotterdam, Econometric Institute, Working Paper No. A1.89 WP 9668/A

Abstract:     
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.

JEL Classification: C60; C53; C51

working papers series


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Date posted: February 15, 1998  

Suggested Citation

Kleibergen, Frank R. and Paap, Richard, Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analysis of Cointegration (1996). Erasmus University of Rotterdam, Econometric Institute, Working Paper No. A1.89 WP 9668/A. Available at SSRN: http://ssrn.com/abstract=59749

Contact Information

Frank R. Kleibergen (Contact Author)
Brown University - Department of Economics ( email )
64 Waterman Street
Providence, RI 02912
United States
Richard Paap
Erasmus University Rotterdam (EUR) - Department of Econometrics ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
Tinbergen Institute ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
Erasmus Research Institute of Management (ERIM) ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
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