Equations Model and the Johansen test for cointegration in a Vector Autoregressive model. The similar structure of the two …

time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations and …

periods. Since a linear combination of such series does not have to be a constant mean process, standard cointegration … Monte Carlo methods. The empirical results suggest the existence of a cointegration relation between US per capita …

Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and … posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run … product of the adjustment parameters and the cointegrating vectors, i.e. the cointegration specification, and a matrix that …

Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed … cointegration model. Using these priors, posterior results for the cointegration model are obtained using a Metropolis …-Hasting sampler. To compare the cointegration models mutually and with the vector autoregressive model under stationarity, we use two …

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …