Browsing ECO Working Papers by Author "MARKUN, Michal"

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Browsing ECO Working Papers by Author "MARKUN, Michal"

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    Title: Adapting the Litterman prior for cointegrated VARs  Author(s): MARKUN, Michal Date: 2011-01-01 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper presents a novel prior for Bayesian VAR models, characterized by explicit modelling of cointegration that avoids certain unattractive restrictive properties of the priors used previously. The potential of the ...