Valid Bayesian Estimation of the Cointegrating Error Correction Model
协整误差修正模型的有效贝叶斯估计
linear restrictions and the nonlinear method of Johansen's maximum likelihood procedure. That the linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognized in several recent articles. Because all Bayesian studies to date have used linear restrictions, this article presents a Bayesian method for obtaining estimates of cointegrating vectors that will always be valid. In addition, it also presents an approach for…