English, Article, Journal or magazine article edition: Bayesian Inference in a Cointegrating Panel Data Model Gary Koop; Roberto Leon-Gonzalez; Rodney Strachan

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Bookmark: http://trove.nla.gov.au/version/145084
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Bayesian Inference in a Cointegrating Panel Data Model
Author
  • Gary Koop
  • Roberto Leon-Gonzalez
  • Rodney Strachan
Physical Description
  • preprint
Notes
  • RePEc:rim:rimwps:02-07
  • This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and cointegration spaces. Furthermore, the parameters which characterize short-run dynamics and deterministic components are allowed to vary over cross-sectional units. In addition to a noninformative prior, we introduce an informative prior which allows for information about the likely location of the cointegration space and about the degree of similarity in coefficients in different cross-sectional units. A collapsed Gibbs sampling algorithm is developed which allows for efficient posterior inference. Our methods are illustrated using real and artificial data.
  • Bayesian; panel data cointegration; error correction model; reduced rank regression; Markov Chain Monte Carlo
  • RePEc:lec:leecon:06/​2
Language
  • English
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