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
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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.
Creators(s): |
Koop, G.M. ![]() | Item type: | Article |
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ID code: | 7742 |
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: | 20 Jan 2021 17:41 |
URI: | https://strathprints.strath.ac.uk/id/eprint/7742 |
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