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

页码：339 / 368

页数：30

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