Arbeitspapier
Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3
The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated conditional on the lag order, the current paper also makes it possible to compute the joint posterior probability of these two parameters as well as the marginal posterior probabilities under the assumption of a known upper bound for the lag order. When the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space and the weights is required. Analytical expressions are therefore derived of the mode of the joint posterior of these parameter matrices. The procedure is applied to a money demand system for the euro area and the results are compared to those obtained from a maximum likelihood analysis.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 692
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Demand for Money
- Thema
-
Bayesian inference
cointegration
lag order
Money demand
vector autoregression
Geldnachfrage
Geldmenge
Eurozone
Theorie
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Warne, Anders
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Warne, Anders
- European Central Bank (ECB)
Entstanden
- 2006
Ähnliche Objekte (12)
Essays on Bayesian inference for demand and supply models
Why Bayesian inference?
Bayesian Prediction with a Cointegrated Vector Autoregression
Inference in small cointegrated systems: Some Monte Carlo results
Likelihood inference for a fractionally cointegrated vector autoregressive model
Bayesian inference of engineering models
Value investing via Bayesian inference
Inference in Bayesian proxy-SVARs
Value investing via Bayesian inference
Bayesian inference with geodetic applications
Causality in demand: A co-integrated demand system for trout in Germany
Causality in demand: A co-integrated demand system for trout in Germany
Essays on Bayesian inference for demand and supply models
Why Bayesian inference?
Bayesian Prediction with a Cointegrated Vector Autoregression
Inference in small cointegrated systems: Some Monte Carlo results
Likelihood inference for a fractionally cointegrated vector autoregressive model
Bayesian inference of engineering models
Value investing via Bayesian inference
Inference in Bayesian proxy-SVARs
Value investing via Bayesian inference
Bayesian inference with geodetic applications
Causality in demand: A co-integrated demand system for trout in Germany
Causality in demand: A co-integrated demand system for trout in Germany
Essays on Bayesian inference for demand and supply models
Why Bayesian inference?
Bayesian Prediction with a Cointegrated Vector Autoregression
Inference in small cointegrated systems: Some Monte Carlo results
Likelihood inference for a fractionally cointegrated vector autoregressive model
Bayesian inference of engineering models
Value investing via Bayesian inference
Inference in Bayesian proxy-SVARs
Value investing via Bayesian inference
Bayesian inference with geodetic applications
Causality in demand: A co-integrated demand system for trout in Germany