arXiv 29 Dec 2020 · Econometrics · publishedEconometrics and Statistics (2023) · 2 citations (OpenAlex)
arXiv:2012.14820 · PDF · DOI · OpenAlex · Extracted main text
The paper aims at developing the Bayesian seasonally cointegrated model for quarterly data. We propose the prior structure, derive the set of full conditional posterior distributions, and propose the sampling scheme. The identification of cointegrating spaces is obtained via orthonormality restrictions imposed on vectors spanning them. In the case of annual frequency, the cointegrating vectors are complex, which should be taken into account when identifying them. The point estimation of the cointegrating spaces is also discussed. The presented methods are illustrated by a simulation experiment and are employed in the analysis of money and prices in the Polish economy.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cubadda, G., Omtzigt, P (2005) Small-sample improvements in the statistical analysis of seasonally cointegrated systems | 0.928 | 4 | 3 | 100% |
| 2 | Kotlowski, J (2005) Money and prices in the Polish economy | 0.874 | 5 | 2 | 100% |
| 3 | Johansen, S., Schaumburg, E (1999) Likelihood analysis of seasonal cointegration | 0.811 | 4 | 2 | 100% |
| 4 | Hylleberg, S., Engle, R. F., Granger, C. W. J., Yoo, B. S (1990) Seasonal integration and cointegration | 0.737 | 3 | 2 | 100% |
| 5 | Koop, G., León-González, R., Strachan, R. W (2009) Efficient posterior simulation for cointegrated models with priors on the cointegration space | 0.644 | 4 | 1 | 100% |
| 6 | Chikuse, Y (2003) Statistics on special manifolds | 0.644 | 2 | 2 | 100% |
| 7 | Villani, M (2006) Bayesian point estimation of the cointegration space | 0.585 | 3 | 1 | 100% |
| 8 | Abeysinghe, T (1994) Deterministic seasonal models and spurious regressions | 0.405 | 1 | 1 | 100% |
| 9 | Chern, S. S., Wolfson, J. G (1987) Harmonic maps of the two-sphere into a complex Grassmann manifold II | 0.405 | 1 | 1 | 100% |
| 10 | Chikuse, Y (1990) The matrix angular central Gaussian distribution | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 32 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity | 0.000 | 1 | 1 |