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Katsuhiro Sugita
''A Monte Carlo comparison of Bayesian testing for cointegration rank''
( 2009, Vol. 29 No.3 )
This article considers a Bayesian testing for cointegration rank, using an approach developed by Strachan and van Dijk (2007), that is based on Koop, Leon-Gonzalez, and Strachan (2006). The Bayes factors are calculated for selecting cointegrating rank. We calculate the Bayes factors using two methods - the Schwarz BIC approximation and Chib's (1995) algorithm for calculating the marginal likelihood. We run Monte Carlo simulations to compare the two methods.
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Jul 29 2008 Manuscript Accepted : Sep 02 2009

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