Bayesian Model Selection in the Analysis of Cointegration

• Autorzy: Justyna Wróblewska
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

EN

Econometric analysis; Bayesian econometric; Bayesian models

PL

Analiza ekonometryczna; Ekonometria bayesowska; Modele bayesowskie

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2009
• Tom: 1
• Numer: nr 1
• Strony: 57--69

Twórcy

autor

Justyna Wróblewska

• Cracow University of Economics, Poland

Bibliografia

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Identyfikatory

DOI

DOI:10.24425/cejeme.2009.12222