PL EN


2009 | 1 | 1 | 57-69
Article title

Bayesian Model Selection in the Analysis of Cointegration

Content
Title variants
Languages of publication
EN
Abstracts
EN
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.
Year
Volume
1
Issue
1
Pages
57-69
Physical description
Dates
received
2008-08-31
accepted
2009-03-22
Contributors
  • Cracow University of Economics
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-f3c246e2-a5cf-4bb6-92d5-0278e4bf2056
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