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Wróblewska Justyna (Cracow University of Economics, Poland / Kolegium Ekonomii, Finansów i Prawa)
Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models
Central European Journal of Economic Modelling and Econometrics (CEJEME), 2012, vol. 4, nr 4, s. 253-267, rys., tab., bibliogr. 20 poz.
Kointegracja, Ekonometria bayesowska, Model wektorowej korekty błędem
Cointegration, Bayesian econometric, Vector error correction model (VECM)
summ.; JEL Classification: C11, C32, C53
The main goal of the paper is the Bayesian analysis of weak form polynomial serial correlation common features together with cointegration. In the VEC model the serial correlation common feature leads to an additional reduced rank restriction imposed on the model parameters. After the introduction and discussion of the model, the methods will be illustrated with an empirical investigation of the price-wage nexus in the Polish economy. Additionally, consequences of imposing such additional short-run restrictions for permanent-transitory decomposition will be discussed. (original abstract)
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Full text
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Cited by
URI / DOI 10.24425/cejeme.2012.119286
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