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- W1672441657 abstract "In order to estimate causal relations, the time series econometrics has to be aware of spurious correlation, a problem first mentioned by Yule [21]. To solve the problem, one can work with differenced series or use multivariate models like VAR or VEC models. In this case, the analysed series are going to present a long run relation i.e. a cointegration relation. Even though the Bayesian literature about inference on VAR/VEC models is quite advanced, Bauwens et al. [2] highlight that “the topic of selecting the cointegrating rank has not yet given very useful and convincing results.”This paper presents the Full Bayesian Significance Test applied to cointegration rank selection tests in multivariate (VAR/VEC) time series models and shows how to implement it using available in the literature and simulated data sets. A standard non‐informative prior is assumed." @default.
- W1672441657 created "2016-06-24" @default.
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- W1672441657 date "2008-01-01" @default.
- W1672441657 modified "2023-09-26" @default.
- W1672441657 title "FBST for Cointegration Problems" @default.
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- W1672441657 doi "https://doi.org/10.1063/1.3038994" @default.
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