Kleibergen, Frank; Dijk, Herman K. van - In: Econometric Theory 10 (1994) 3-4, pp. 514-551
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...
