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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.

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: 24 Sep 2017 08:11
URI: https://strathprints.strath.ac.uk/id/eprint/7742
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