Picture of smart phone in human hand

World leading smartphone and mobile technology research at Strathclyde...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including by Strathclyde researchers from the Department of Computer & Information Sciences involved in researching exciting new applications for mobile and smartphone technology. But the transformative application of mobile technologies is also the focus of research within disciplines as diverse as Electronic & Electrical Engineering, Marketing, Human Resource Management and Biomedical Enginering, among others.

Explore Strathclyde's Open Access research on smartphone technology now...

Efficient posterior simulation in cointegration models with priors on the cointegration space

Koop, G.M. and Leon-Gonzalez, Roberto and Strachan, Rodney W. (2005) Efficient posterior simulation in cointegration models with priors on the cointegration space. Working paper. University of Leicester.

[img]
Preview
PDF (strathprints007740.pdf)
strathprints007740.pdf

Download (296kB) | Preview

Abstract

A message coming out of the recent Bayesian literature on cointegration is that it is important to elicit a prior on the space spanned by the cointegrating vectors (as opposed to a particular identi�ed choice for these vectors). In this note, we discuss a sensible way of eliciting such a prior. Furthermore, we develop a collapsed Gibbs sampling algorithm to carry out e¢ cient posterior simulation in cointegration models. The computational advantages of our algorithm are most pronounced with our model, since the form of our prior precludes simple posterior simulation using conventional methods (e.g. a Gibbs sampler involves non-standard posterior conditionals). However, the theory we draw upon implies our algorithm will be more e¢ cient even than the posterior simulation methods which are used with identi�ed versions of cointegration models.