- Tytuł:
- Bayesian Model Selection in the Analysis of Cointegration
- Autorzy:
- Wróblewska, Justyna
- Tematy:
-
cointegration
Bayesian analysis
Grassmann manifold
Stiefel manifold
posterior probability - Pokaż więcej
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Powiązania:
- https://bibliotekanauki.pl/articles/483357.pdf Link otwiera się w nowym oknie
- Opis:
- In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on the collapsed Gibbs sampler. The presented methods are applied to the analysis of the price - wage mechanism in the Polish economy.
- Dostawca treści:
- Biblioteka Nauki
Artykuł