BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION

By Mattias Villani. Econometric Theory, 2005

67 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3b471612050eb66e432ebfed1515e4dd0ed11433

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Citations in the corpus

Trends and Cycles in China’s Macroeconomy (2016, unknown): “Our prior has some similarity to the prior specified by Villani (2005). Working directly with the reduced-form parameters, Villani (2005) uses the F−1 0 R = αβ ′ decomposition with normalization such that the upper r × r block of β is the identity matrix.”
Natural conjugate priors for the instrumental variables regression model applied to the Angrist–Krueger data (2006, methodology): “The |Ω22| 1 2 (m+1) element in (32) and the specification of q RRF (Ω) in (30) indicate that the marginal prior of Ω22 can be approximated by an inverted-Wishart distribution with scale parameter Ω0,22+νΠ ′ 0Z ZΠ0, when Ω0 = (”
Vector Autoregressive Models (2011, background): “Extensions and alternatives were proposed by Kadiyala and Karlsson (1997), Villani (2005), Sims, Waggoner and Zha (2008), Giannone, Lenza and Primiceri (2010) and others.”
Bayesian Instrumental Variables: Priors and Likelihoods (2014, methodology): “Villani, M. (2010). Bayesian reference analysis of cointegration. Econometric Theory, 21, 326-357. West, M. (1984). Oultier models and prior distributions in Bayesian linear regression. Journal of Royal Statistical Society, Series B, 46, 431-439. Zellner, A. (1971). An Introduction to Bayesian Infer”
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (2009, background): “As a prior for , in line with previous literature (e.g., Geweke, 1996; Strachan and Inder, 2004; Villani, 2005), we choose a shrinkage prior with zero prior mean | , , , ∼ MN (0, ( ′P1/ )−1 ⊗ G), (5)”
Bayesian Inference of General Linear Restrictions on the Cointegration Space (2007, unknown): “The prior on the adjustment coe¢ cients in is an extension of the prior used in Strachan and Inder (2004) and Villani (2005a) to the just-identi ed case (3.4) vec j Np(0; V ); where V = diag( 21; :::; 2 r).”
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.”
Normalization in Econometrics (2007, methodology): “These problems have led to the embedding approach of working on Π via singular value decomposition (eg, Kleibergen and van Dijk, 1998 ; Kleibergen and Paap, 2002 ) and the cointegration space approach proposed by Villani ( 2005 To appear ).”