Bayesian inference in a cointegrating panel data model

Koop, G.M. and Leon-Gonzalez, Roberto and Strachan, Rodney W. (2008) Bayesian inference in a cointegrating panel data model. Advances in Econometrics, 23. pp. 433-469. ISSN 0731-9053

[thumbnail of strathprints007742]
Preview
 Text (strathprints007742)
strathprints007742.pdf
Accepted Author Manuscript
Download (444kB)| Preview

    Abstract

    This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and cointegration spaces. Furthermore, the parameters which characterize short-run dynamics and deterministic components are allowed to vary over cross-sectional units. In addition to a noninformative prior, we introduce an informative prior which allows for information about the likely location of the cointegration space and about the degree of similarity in coefficients in different cross-sectional units. A collapsed Gibbs sampling algorithm is developed which allows for efficient posterior inference. Our methods are illustrated using real and artificial data.

    ORCID iDs

    Koop, G.M. ORCID logoORCID: https://orcid.org/0000-0002-6091-378X, Leon-Gonzalez, Roberto and Strachan, Rodney W.;
    • Item type:Article
      ID code:7742
      Dates:
      Date
      Event
      June 2008
      Published
      Keywords:Bayesian, panel data cointegration, error correction model, reduced rank regression, Markov Chain, Monte Carlo, econometrics, Economic Theory, Statistics, Economics and Econometrics
      Subjects:Social Sciences > Economic Theory
      Social Sciences > Statistics
      Department:Strathclyde Business School > Economics
      Depositing user: Strathprints Administrator
      Date deposited:19 Mar 2009 16:14
      Last modified:06 Sep 2021 02:04
      URI:https://strathprints.strath.ac.uk/id/eprint/7742
    CORE (COnnecting REpositories)