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On the Shape of the Likelihood/Posterior in Cointegration Models

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References

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1996Time-Series-Based Econometrics103 cited
2002Priors, posteriors and bayes factors for a Bayesian analysis of cointegration96 cited

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2009

Econometric Analysis with Vector Autoregressive Models

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2003Valid Bayesian Estimation of the Cointegrating Error Correction Model76 cited

2005BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION70 cited

2018Priors for the Long Run64 cited

2011Bayesian inference in a time varying cointegration model63 cited

2003Bayes Estimates of Markov Trends in Possibly Cointegrated Series58 cited

2006Bayesian Approaches to Cointegration54 cited

1994Direct cointegration testing in error correction models46 cited

1994WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTS44 cited

2005Bayesian point estimation of the cointegration space33 cited

2018Bayesian Vector Autoregressions30 cited