A gibbs sampling approach to cointegration

Computational Statistics

Volumn 13, Issue 3, 1998, Pages 339-368

  Bauwens, Luc ^a   Giot, Pierre ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Bayesian inference; Cointegration; Gibbs sampling; Spectral analysis

Indexed keywords

EID: 0032369104     PISSN: 09434062     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (13)

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13. Yu, B. and Mykland, P. (1994). Looking at Markov samplers through CUMSUM path plots: a simple diagnostic idea. Technical Report 413. Department of Statistics, University of California at Berkeley.