A Gibbs sampling approach to cointegration

被引：0
|
作者：
Bauwens, L [1 ]
Giot, P [1 ]
机构：
[1] Univ Catholique Louvain, CORE, B-1348 Louvain, Belgium
来源：
COMPUTATIONAL STATISTICS | 1998年 / 13卷 / 03期
关键词：
Bayesian inference; cointegration; Gibbs sampling; spectral analysis;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：339 / 368
页数：30
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