2024-03-28T08:03:35Z
https://u-ryukyu.repo.nii.ac.jp/oai
oai:u-ryukyu.repo.nii.ac.jp:02004135
2022-11-29T05:57:03Z
1642837622505:1642837818741:1642837843440
1642838403551:1642838405494
Testing for Cointegration Rank Using Bayes Factors
杉田, 勝弘
Sugita, Katsuhiro
Cointegration
MCMC
Bayes factor
This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We consider natural conjugate priors for computing Bayes factors. First, we estimate the cointegrating vectors for each possible rank. Then, we compute the Bayes factors for each rank against 0 rank. Monte Carlo simulations show that using Bayes factor with conjugate priors produces fairly good results. The methods proposed here are also applied for selecting the appropriate lags and testing for over-identifying restrictions on cointegrating vectors.
紀要論文
http://purl.org/coar/resource_type/c_6501
琉球大学法文学部
2008-09
VoR
http://hdl.handle.net/20.500.12000/7488
0557-580X
AN00250468
琉球大学経済研究
76
66
51
jpn
open access