|
| |
| 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. |
| |
| |
| Keywords: |
JEL: C1 - Econometric and Statistical Methods: General
|
| |
| Manuscript Received : Jul 29 2008 | | Manuscript Accepted : Sep 02 2009 |
|
