Bayesian Inference in the Time Varying Cointegration Model

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Note (General)：: https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/JEL Classification Codes: C11, C32, C33経済学 / Economics

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Summary, etc.：: There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time...

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Material Type: 文書・図像類
Title: Bayesian Inference in the Time Varying Cointegration Model
Author/Editor: KOOP, Gary
LEON-GONZALEZ, Roberto
STRACHAN, Rodney W.
Author Heading: KOOP, Gary
LEON-GONZALEZ, Roberto
STRACHAN, Rodney W.
Publication, Distribution, etc.: GRIPS Policy Research Center
Publication Date: 2008-05-22
Publication Date (W3CDTF): 2008-05-22
Periodical title: GRIPS Discussion Papers
No. or year of volume/issue: DP08-01
Volume: DP08-01
Text Language Code: eng
Subject Heading: Bayesian
time varying cointegration
error correction model
reduced rank regression
Markov Chain Monte Carlo
Target Audience: 一般
Note (General): https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/
JEL Classification Codes: C11, C32, C33
経済学 / Economics
Related Material: isIdenticalTo
https://ideas.repec.org/p/ngi/dpaper/08-01.html
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 政策研究大学院大学 : 政策研究大学院大学学術機関リポジトリ