Efficient posterior simulation for cointegrated models with priors on the cointegration space
Year of publication: |
2010-03-01
|
---|---|
Authors: | Koop, Gary ; Leon-Gonzalez, Roberto ; Strachan, Rodney W. |
Publisher: |
Taylor & Francis |
Subject: | Bayesian | Collapsed Gibbs sampler | Error correction model | Markov Chain Monte Carlo | Parameter-augmentation | Reduced rank regression |
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