A Monte Carlo comparison of Bayesian testing for cointegration rank

被引：0
|
作者：
Sugita, Katsuhiro [1 ]
机构：
[1] Univ Ryukyus, Fac Law & Letters, Nishihara, Okinawa, Japan
来源：
ECONOMICS BULLETIN | 2009年 / 29卷 / 03期
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D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article considers a Bayesian testing for cointegration rank, using an approach developed by Strachan and van Dijk (2007), that is based on Koop, Leon-Gonzalez, and Strachan (2006). The Bayes factors are calculated for selecting cointegrating rank. We calculate the Bayes factors using two methods - the Schwarz BIC approximation and Chib's (1995) algorithm for calculating the marginal likelihood. We run Monte Carlo simulations to compare the two methods.
引用
收藏
页码：2145 / 2151
页数：7
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