Picture of offices in the City of London

Open Access research that is better understanding work in the global economy...

Strathprints makes available scholarly Open Access content by researchers in the Department of Work, Employment & Organisation based within Strathclyde Business School.

Better understanding the nature of work and labour within the globalised political economy is a focus of the 'Work, Labour & Globalisation Research Group'. This involves researching the effects of new forms of labour, its transnational character and the gendered aspects of contemporary migration. A Scottish perspective is provided by the Scottish Centre for Employment Research (SCER). But the research specialisms of the Department of Work, Employment & Organisation go beyond this to also include front-line service work, leadership, the implications of new technologies at work, regulation of employment relations and workplace innovation.

Explore the Open Access research of the Department of Work, Employment & Organisation. Or explore all of Strathclyde's Open Access research...

Bayesian approaches to cointegration

Koop, Gary and Strachan, Rodney and Van Dijk, Herman and Villani, Mattias (2006) Bayesian approaches to cointegration. In: The Palgrave Handbook of Theoretical Econometrics. Palgrave McMillan, pp. 871-898. ISBN 1403941556

[img]
Preview
Text (strathprints007750)
strathprints007750.pdf
Accepted Author Manuscript

Download (408kB) | Preview

Abstract

The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the analysis of cointegration. Villani (2000) and Strachan and van Dijk (2003) have recently proposed finite sample Bayesian procedures to calculate the posterior probability of restrictions on the cointegration space, using the existence of a uniform prior distribution on the cointegration space as the key ingredient. The current paper extends this approach to the empirically important case with different restrictions on the individual cointegration vectors. Prior distributions are proposed and posterior simulation algorithms are developed. Consumers' expenditure data for the US is used to illustrate the robustness of the results to variations in the prior. A simulation study shows that the Bayesian approach performs remarkably well in comparison to other more established methods for testing restrictions on the cointegration vectors.