We propose a novel Bayesian test under a (noninformative) Jeffreys' prior specification. We check whether the fixed scalar value of the so- called Bayesian Score Statistic (BSS) under the null hypothesis is a plausible realization from its known and standardized distribution under the...

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 multiplier given that it has reduced rank. Rank...

Using the standard linear model as a base, a unified theory of Bayesian Analysis of Cointegration Models is constructed. This is achieved by defining (natural conjugate priors in the linear model and using the implied priors for the cointegration model

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: Necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...