2024-03-29T01:06:26Z
https://u-ryukyu.repo.nii.ac.jp/oai
oai:u-ryukyu.repo.nii.ac.jp:02008935
2023-08-03T05:39:39Z
1642838163960:1642838338003
1642838403551:1642838405494
A Monte Carlo comparison of Bayesian testing for cointegration rank
Sugita, Katsuhiro
open access
This article considers a Bayesian testing for cointegration rank, using an approach developed by Strachan and van Dijk (2007), that is based on Koop, Leon-Gonzalez, and Strachan (2006). The Bayes factors are calculated for selecting cointegrating rank. We calculate the Bayes factors using two methods - the Schwarz BIC approximation and Chib's (1995) algorithm for calculating the marginal likelihood. We run Monte Carlo simulations to compare the two methods.
論文
Economics Bulletin
2009-09-02
eng
journal article
VoR
http://hdl.handle.net/20.500.12000/38709
http://hdl.handle.net/20.500.12000/38709
https://u-ryukyu.repo.nii.ac.jp/records/2008935
http://www.accessecon.com/pubs/EB/
1545-2921
Economics Bulletin
29
3
2145
2151
https://u-ryukyu.repo.nii.ac.jp/record/2008935/files/EB-09-V29-I3-P63.pdf