Valid Bayesian Estimation of the Cointegrating Error Correction Model

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Non-Performing Loans in the Euro Area: Are Core-Periphery Banking Markets Fragmented? (2016, unknown): “Several papers, including Strachan (2003), Strachan and Inder (2004) and Villani (2005, 2006) propose various approaches and Koop, Leon-Gonzalez and Strachan (2009) extend the general framework outlined in Strachan (2003) and Strachan and Inder (2004) to the panel cointegration model.”
Bayesian Inference of General Linear Restrictions on the Cointegration Space (2007, unknown): “Alternatively, the posterior distribution of the cointegration rank may be obtained separately using one of the procedures in Kleibergen and Paap (2002), Strachan (2003), Corander and Villani (2004), Strachan and Inder (2004), Strachan and van Dijk (2004) and Villani (2005a).”
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (2009, methodology): “The matrix G could be chosen to be equal to Σ, as in Strachan and Inder (2004) and Villani (2005). However, any choice of G is possible should the researcher desire this added flexibility.”