论文信息 - A Gibbs sampling approach to cointegration

A Gibbs sampling approach to cointegration

This paper reviews the application of Gibbs sampling to a cointegrated VAR system. Aggregate imports and import prices for Belgium are modelled using two cointegrating relations. Gibbs sampling techniques are used to estimate from a Bayesian perspective the cointegrating relations and their weights in the VAR system. Extensive use of spectral analysis is made to get insight into convergence issues.

Pierre Giot | Luc Bauwens | L. Bauwens | P. Giot

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