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Cointegration: Bayesian Significance Test

โœ Scribed by Diniz, M.; Pereira, C. A. B.; Stern, J. M.

Book ID
115489067
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
135 KB
Volume
41
Category
Article
ISSN
0361-0926

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## Abstract This paper investigates Bayesian forecasts for some cointegrated time series data. Suppose data are derived from some cointegrated model, but, an unrestricted vector autoregressive model, without including cointegrated conditions, is fitted; the implication of using an incorrect model w