Bayesian Factorized Cointegration Analysis

• 作者: Kai Cui Wenshan Cui
• 来源期刊: 统计学期刊(英文)
• 学科: 医学
• 关键词: COINTEGRATION BAYESIAN DYNAMIC FACTOR NON-STATIONARY ROOT Structure MCMC
• 年，卷（期）: 2012,（5）
• 页码范围: 504-511
• 页数: 8页
• 分类号: R73

摘要

The concept of cointegration is widely used in applied non-stationary time series analysis to describe the co-movement of data measured over time. In this paper, we proposed a Bayesian model for cointegration test and analysis, based on the dynamic latent factor framework. Efficient computational algorithms are also developed based on Markov Chain Monte Carlo (MCMC). Performance and efficiency of the the model and approaches are assessed by simulated and real data analysis.