Chua, Chew Lian; Summers, Peter - Econometric Society - 2004
cointegration in the ECM, and the Bayesian methods of Waggoner and Zha (2003) for estimating the structural parameters in BSVAR into …This paper proposes a Structural Error Correction Model (SECM) that allows concurrent estimation of the structural … parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of …