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A Gibbs Sampling Approach To Cointegration (1997)
| Venue: | Computational Statistics |
| Citations: | 3 - 0 self |
BibTeX
@ARTICLE{Bauwens97agibbs,
author = {L Bauwens and P. Giot},
title = {A Gibbs Sampling Approach To Cointegration},
journal = {Computational Statistics},
year = {1997},
volume = {13},
pages = {339--368}
}
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Abstract
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. CORE, Universit'e catholique de Louvain. Support of the European Commission Human Capital and Mobility Program through the network "Econometric inference using simulation methods" is gratefully acknowledged. While remaining responsible for any error, the authors wish to thank Herman van Dijk for useful remarks and suggestions. This text presents research results of the Belgian Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister's Office, Science Policy Programming. The scientific responsibility is assumed by its authors. 1 Introduction For the p...
Keyphrases
gibbs sampling approach cointegrating relation var system mobility program convergence issue spectral analysis aggregate import extensive use bayesian perspective belgian program european commission human capital science policy programming interuniversity pole useful remark herman van dijk text present research result belgian state prime minister scientific responsibility import price network econometric inference simulation method
