- Tytuł:
- Bayesian Model Selection in the Analysis of Cointegration
- Autorzy:
- Wróblewska, Justyna
- Powiązania:
- https://bibliotekanauki.pl/articles/483357.pdf
- Data publikacji:
- 2009
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
cointegration
Bayesian analysis
Grassmann manifold
Stiefel manifold
posterior probability - Opis:
- In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on the collapsed Gibbs sampler. The presented methods are applied to the analysis of the price - wage mechanism in the Polish economy.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2009, 1, 1; 57-69
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł