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)
Erasmus University of Rotterdam, Econometric Institute, Working Paper No. A1.89 WP 9668/A
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
Date posted: February 15, 1998