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

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

Posted: 15 Feb 1998  

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)

Date Written: 1996

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

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: https://ssrn.com/abstract=59749

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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