Please use this identifier to cite or link to this item:
Title: Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space
Authors: Koop, Gary
León-González, Roberto
Strachan, Rodney W.
First Published: Apr-2006
Publisher: Dept. of Economics, University of Leicester
Abstract: A message coming out of the recent Bayesian literature on cointegration is that it is important to elicit a prior on the space spanned by the cointegrating vectors (as opposed to a particular identified choice for these vectors). In this note, we discuss a sensible way of eliciting such a prior. Furthermore, we develop a collapsed Gibbs sampling algorithm to carry out efficient posterior simulation in cointegration models. The computational advantages of our algorithm are most pronounced with our model, since the form of our prior precludes simple posterior simulation using conventional methods (e.g. a Gibbs sampler involves non-standard posterior conditionals). However, the theory we draw upon implies our algorithm will be more efficient even than the posterior simulation methods which are used with identified versions of cointegration models.
Series/Report no.: Discussion Papers in Economics
Type: Report
Appears in Collections:Reports, Dept. of Economics

Files in This Item:
File Description SizeFormat 
dp05-13.pdf168.63 kBAdobe PDFView/Open

Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.