In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

The purpose of this paper is to survey and critically assess the Bayesian cointegration literature. In one sense, Bayesian analysis of cointegration is straightforward. The researcher can combine the likelihood function with a prior and do Bayesian inference with the resulting posterior....