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. ORCID logoORCID: https://orcid.org/0000-0002-6091-378X, Leon-Gonzalez, Roberto and Strachan, Rodney W.;
    Item type:Article
    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:03 Aug 2020 00:54
    URI:https://strathprints.strath.ac.uk/id/eprint/7742
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