A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
时变协整关系与协整秩的贝叶斯建模
A multivariate model that allows for both a time-varying cointegrating matrix and time-varying cointegrating rank is presented. The model addresses the issue that, in real data, the validity of a constant cointegrating relationship may be questionable. The model nests the submodels implied by alternative cointegrating matrix ranks and allows for transitions between stationarity and nonstationarity, and cointegrating and noncointegrating relationships in accordance with the…