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

Kleibergen, Frank R.; Paap, Richard

Abstract

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

Frank R. Kleibergen

Brown University - Department of Economics

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

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

Abstract

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

Frank R. Kleibergen

Richard Paap

Date posted: February 15, 1998

Suggested Citation

Contact Information

Frank R. Kleibergen (Contact Author)

Richard Paap