A Gibbs sampling approach to cointegration

Bauwens, Luc;Giot, Pierre
(1998) Computational Statistics — Vol. 13, n° 3, p. 339-368 (1998)

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  • Bauwens, Lucorcid-logoUCLouvain
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  • Giot, PierreUCLouvain
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Abstract
This paper reviews the application of Gibbs sampling to a cointegrated VAR system. Aggregate imports and import prices for Belgium are modelled using two cointegrating relations. Gibbs sampling techniques are used to estimate from a Bayesian perspective the cointegrating relations and their weights in the VAR system. Extensive use of spectral analysis is made to get insight into convergence issues.
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Bauwens, L., & Giot, P. (1998). A Gibbs sampling approach to cointegration. Computational Statistics, 13(3), 339-368. https://hdl.handle.net/2078.5/141484 (Original work published 1998)