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No.76 (2008/9) >

 
Title :Testing for Cointegration Rank Using Bayes Factors
Authors :杉田, 勝弘
Authors alternative :Sugita, Katsuhiro
Issue Date :Sep-2008
Abstract :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.
Type Local :紀要論文
ISSN :0557-580X
Publisher :琉球大学法文学部
URI :http://hdl.handle.net/20.500.12000/7488
Citation :琉球大学経済研究 no.76 p.51 -66
Appears in Collections:No.76 (2008/9)

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