Bayesian analysis of the error correction model

By Rodney W. Strachan, B. Inder. 2004

98 citations recorded by the source corpus.

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Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (2009, methodology): “These spaces are compact and, hence, a Uniform distribution over them is proper (the integrating constant which ensures propriety is given in Strachan and Inder (2004)).”
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.”
Forecasting with Bayesian Vector Autoregression (2013, unknown): “Villani (2005) derives closed form expressions for the marginal likelihoods m (YT |r = 0) and m (YT |r = m) under the uniform prior on Gr,m for sp (β) and linear normalization, i.”
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).”