Bayesian point estimation of the cointegration space

Anderson, 1951, Estimating linear restrictions on regression coefficients for multivariate normal distributions, Annals of Mathematical Statistics, 22, 327, 10.1214/aoms/1177729580 Anderson, 1984 Bauwens, L., Lubrano, M., 1996. Identification restrictions and posterior densities in cointegrated Gaussian VAR systems. In: Advances in Econometrics, vol. 11, Part B, JAI Press, pp. 3–28. Bernardo, 1994 Campbell, 1987, Cointegration and tests of present value models, Journal of Political Economy, 95, 1062, 10.1086/261502 Eaton, 1983 Edelman, 1998, The geometry of algorithms with orthogonality constraints, SIAM Journal of Matrix Analysis and Applications, 20, 303, 10.1137/S0895479895290954 Engle, R.F., Granger, C.W.J., 1987. Co-integration and error correction: representation, estimation and testing. Econometrica 55, 251–276. Fisher, 1976, Normalization in point estimation, Journal of Econometrics, 4, 243, 10.1016/0304-4076(76)90035-X Geweke, 1989, Bayesian inference in econometric models using Monte Carlo integration, Econometrica, 57, 1317, 10.2307/1913710 Geweke, 1996, Bayesian reduced rank regression in econometrics, Journal of Econometrics, 75, 121, 10.1016/0304-4076(95)01773-9 James, 1954, Normal multivariate analysis and the orthogonal group, Annals of Mathematical Statistics, 25, 40, 10.1214/aoms/1177728846 Johansen, 1995 Juselius, 1992, Domestic and foreign effects on prices in an open economy: the case of Denmark, Journal of Policy Modelling, 14, 401, 10.1016/0161-8938(92)90014-4 Kadane, 1978, A comment on normalization in point estimation, Journal of Econometrics, 7, 123, 10.1016/0304-4076(78)90011-8 Kleibergen, 2002, Priors, posteriors and bayes factors for a Bayesian analysis of cointegration, Journal of Econometrics, 111, 223, 10.1016/S0304-4076(02)00105-7 Kleibergen, 1994, On the shape of the likelihood/posterior in cointegration models, Econometric Theory, 10, 514, 10.1017/S0266466600008653 Kleibergen, 1998, Bayesian simultaneous equations analysis using reduced rank structures, Econometric Theory, 14, 701, 10.1017/S0266466698146017 Kloek, 1978, Bayesian estimates of equation system parameters: an application of integration by Monte Carlo, Econometrica, 46, 1, 10.2307/1913641 Lütkepohl, 1993 Mardia, 1977, Uniform distribution on a Steifel manifold, Journal of Multivariate Analysis, 7, 468, 10.1016/0047-259X(77)90087-2 Paap, 2003, Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income, Journal of Business and Economic Statistics, 21, 547, 10.1198/073500103288619296 Phillips, 1991, Optimal inference in cointegrated systems, Econometrica, 59, 283, 10.2307/2938258 Srivastava, 2000, A Bayesian approach to geometric subspace estimation, IIIE Transactions on Signal Processing, 48, 1390, 10.1109/78.839985 Strachan, 2003, Valid Bayesian estimation of the cointegrating error correction model, Journal of Business and Economic Statistics, 21, 185, 10.1198/073500102288618883 Strachan, 2004, Bayesian analysis of the error correction model, Journal of Econometrics, 123, 307, 10.1016/j.jeconom.2003.12.004 Strachan, R.W., van Dijk, H.K., 2004. The value of structural information in the VAR model. Econometric Institute Report EI 2003-17, Erasmus University, Rotterdam. Tierney, 1994, Markov chains for exploring posterior distributions (with discussion), Annals of Statistics, 22, 1701, 10.1214/aos/1176325750 Villani, M., 2000. Aspects of Bayesian Cointegration. Ph.D. thesis, Department of statistics, Stockholm University. Villani, 2005, Bayesian reference analysis of cointegration, Econometric Theory, 21, 326, 10.1017/S026646660505019X Wijsman, R.A., 1990. Invariant Measures on Groups and Their Use in Statistics, IMS Lecture Notes-Monograph Series, vol. 14. Zellner, 1971