Koop, Gary; Strachan, Rodney W.; Dijk, Herman K. van; … - 2005
Bayesian Approaches to Cointegration
Econometric Institute Report EI 2005-13
Gary Koop
Department of Economics … substantive amount
of Bayesian work on cointegration. The purpose of this chapter is to survey and
critically assess the Bayesian … simulation
methods necessary to implement Bayesian methods empirically. As we shall
see, the issues the Bayesian must address in …