Skip navigation
Skip navigation

Bayesian inference in a time varying cointegration model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney

Description

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper, we develop a new time varying parameter model which permits cointegration. We use a specification which allows...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/34857
Source: Journal of Econometrics
DOI: 10.1016/j.jeconom.2011.07.007

Download

File Description SizeFormat Image
01_Koop_Bayesian_inference_in_a_time_2011.pdf343.42 kBAdobe PDF    Request a copy
02_Koop_Bayesian_inference_in_a_time_2011.pdf403.68 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator