The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the … analysis of cointegration. Villani (2000) and Strachan and van Dijk (2003) have recently proposed finite sample Bayesian … procedures to calculate the posterior probability of restrictions on the cointegration space, using the existence of a uniform …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …