A sensible Bayesian model selection or comparison strategy implies selecting the model with the highest posterior probability. While some improper priors have attractive properties such as, eg, lower frequentist risk, it is generally claimed that Bartlett’s paradox implies that using improper...

Bayesian model selection with posterior probabilities and no subjective prior information is generally not possible due to the Bayes factors being ill-defined. Using careful consideration of the parameter of interest in cointegration analysis and a respecifcation of the triangular model of...

A vector autoregressive (VAR) model is specified with equation system parameters, which directly reflect the possible cointegrating nature of the analyzed time series. By using a flat/diffuse prior, we show that the marginal posteriors of the parameters of interest (multipliers of the...

Economic policy decisions are often informed by empirical economic analysis. While the decision-maker is usually only interested in good estimates of outcomes, the analyst is interested in estimating the model. Accurate inference on the structural features of a model, such as cointegration, can...