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Aspecte of Bayesian Cointegration
Stockholm University, Faculty of Social Sciences, Department of Statistics.
2000 (English)Doctoral thesis, comprehensive summary (Other academic)
Place, publisher, year, edition, pages
Edsbruk: Akademitryck , 2000. , 12 p.
Keyword [en]
Bayesian inference, Cointegration, Estimation, Lag-length, Prediction, Restrictions
National Category
Probability Theory and Statistics
Research subject
URN: urn:nbn:se:su:diva-102224ISBN: 91-7265-098-2OAI: diva2:708751
Public defence
2000-05-24, 10:00 (English)

At the time of the doctoral defence the following papers were included in the thesis:

Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes

Cointegration Analysis based on a Uniform Prior over the Space of Cointegration Spaces

A Bayesian Approach to restrictions on the Cointegration Space

Bayesian Prediction based on the Cointegrated Vector Autoregression

Available from: 2014-03-31 Created: 2014-03-28 Last updated: 2014-03-31Bibliographically approved

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