Bayesian inference in a time varying cointegration model
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2011/12/01
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Journal
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Indian UGC (journal)
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Refrences51
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Citations46
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Gary Koop
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Roberto Leon-Gonzalez
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Rodney W. Strachan
Cite
Koop, Gary, et al. “Bayesian Inference in a Time Varying Cointegration Model”. Journal of Econometrics, vol. 165, no. 2, 2011, pp. 210-2, https://doi.org/10.1016/j.jeconom.2011.07.007.
Koop, G., Leon-Gonzalez, R., & Strachan, R. W. (2011). Bayesian inference in a time varying cointegration model. Journal of Econometrics, 165(2), 210-220. https://doi.org/10.1016/j.jeconom.2011.07.007
Koop, Gary, Roberto Leon-Gonzalez, and Rodney W. Strachan. “Bayesian Inference in a Time Varying Cointegration Model”. Journal of Econometrics 165, no. 2 (2011): 210-20. https://doi.org/10.1016/j.jeconom.2011.07.007.
Koop G, Leon-Gonzalez R, Strachan RW. Bayesian inference in a time varying cointegration model. Journal of Econometrics. 2011;165(2):210-2.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Statistics
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
The von Mises–Fisher Matrix Distribution in Orientation Statistics | Journal of the Royal Statistical Society Series B: Statistical Methodology |
| 42 | 1977 |
| Hierarchical Markov normal mixture models with applications to financial asset returns | Journal of Applied Econometrics |
| 89 | 2011 |
| Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space | Econometric Reviews |
| 43 | 2010 |
| Time varying cointegration | Econometric Theory |
| 2010 | |
| Methods for inference in large multiple-equation Markov-switching models | Journal of Econometrics |
| 143 | 2008 |
Refrences Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 36
is the most frequently represented among the references in this article. It primarily includes studies from Journal of Econometrics The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Real exchange rate convergence in the euro area: Evidence from a dynamic factor model | International Review of Economics & Finance |
| 2024 | |
New evidence on US monetary policy activism and the Taylor rule | Macroeconomic Dynamics |
| 2024 | |
| Bayesian analysis of seasonally cointegrated VAR models | Econometrics and Statistics | 2023 | ||
| Measuring sovereign bond fragmentation in the Eurozone | Finance Research Letters |
| 2023 | |
| Microstructure and high-frequency price discovery in the soybean complex | Journal of Commodity Markets |
| 2 | 2023 |
Citations Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 21
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging and was published in 2010. The most recent citation comes from a 2024 study titled New evidence on US monetary policy activism and the Taylor rule. This article reached its peak citation in 2017, with 11 citations. It has been cited in 30 different journals, 3% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 11 citations. The chart below illustrates the annual citation trends for this article.