Bayesian inference in the triangular cointegration model using a Jeffreys prior

Communications in Statistics - Theory and Methods

Volumn 29, Issue 8, 2000, Pages 1759-1785

  Martin, Gael M ^a   Martin, Vance L ^b  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Bayesian inference; Cointegration; Consumption substitutability; Identification; Jeffreys prior; Markov Chain Monte Carlo

Indexed keywords

EID: 0347691247     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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