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
Date Written: 1996
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: Suggested Citation