Bayesian point estimation of the cointegration space

Journal of Econometrics

Volumn 134, Issue 2, 2006, Pages 645-664

  Villani, Mattias ^a  

^a STOCKHOLM UNIVERSITY   (Sweden)

Author keywords

Bayesian inference; Cointegration analysis; Estimation; Grassman manifold; Subspaces

Indexed keywords

DATA REDUCTION; FUNCTION EVALUATION; MAXIMUM LIKELIHOOD ESTIMATION; NUMERICAL ANALYSIS; VECTORS;

BAYESIAN INFERENCE; COINTEGRATION ANALYSIS; GRASSMAN MANIFOLD; SUBSPACES;

PARAMETER ESTIMATION;

EID: 33747891423     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.008     Document Type: Article

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