Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space

87 citations recorded by the source corpus.

Citations in the corpus

Non-Performing Loans in the Euro Area: Are Core-Periphery Banking Markets Fragmented? (2016, unknown): “The study by Messai (2013) obtains outcomes akin to the ones which were obtained by Louzis et al. (2010). In addition, she stresses that banks should take into consideration the international competitiveness of the domestic economy as Kauko (2012) has also suggested.”
Forecasting with Bayesian Vector Autoregression (2013, unknown): “Forecast performance Korobilis (2008) applies the SSVS in a forecasting exercise where the base model is a VAR with eight US macroeconomic variables which is augmented with an additional 124 exogenous variables that are entered into the model in the form of their principal components.”