Concepedia

Bayesian Cointegration Analysis

Bayesian Cointegration Analysis is a statistical methodology within time series econometrics that employs Bayesian inference to model and detect long-run equilibrium relationships among non-stationary variables, distinguishing itself from classical approaches by incorporating prior information and uncertainty quantification in the estimation of cointegrating vectors.

109

Publications

5.6K

Citations

164

Authors

118

Institutions

Publications per year

2017–2026

28

Parents

Publications

109

Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach

Frank Smets, Raf Wouters · Journal of Applied Econometrics · 2005 · 427 citations

, , +16

Comparing Shocks and Frictions in US and Euro Area Business Cycles: A Bayesian DSGE Approach

Frank Smets, Rafael Wouters · SSRN Electronic Journal · 2004 · 276 citations · Full text

, , +16

Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model

Christina Christou, Juncal Cuñado, Rangan Gupta et al. · Journal of Multinational Financial Management · 2017 · 258 citations

, , +15

Steady‐state priors for vector autoregressions

Mattias Villani · Journal of Applied Econometrics · 2009 · 217 citations

, , +16

A Bayesian analysis of the unit root in real exchange rates

Peter C. Schotman, Herman K. van Dijk · Journal of Econometrics · 1991 · 180 citations · Full text

, , +15

1–5 of 109

Authors

164

  1. MV
    Mattias Villani

    Stockholm University, Sweden

    7 publications · 441 citations

    7

    h-index

  2. HK
    Herman K. van Dijk

    Erasmus University Rotterdam, Netherlands

    6 publications · 424 citations

    6

    h-index

  3. GK
    Gary Koop

    University of Strathclyde, United Kingdom

    6 publications · 315 citations

    6

    h-index

  4. RW
    Rodney W. Strachan

    The University of Queensland, Australia

    5 publications · 297 citations

    5

    h-index

  5. FS
    Frank Smets

    European Central Bank, Germany

    4 publications · 787 citations

    4

    h-index

1–5 of 164

Institutions

118

  1. European Central Bank

    Frankfurt am Main, Germany

    7 h-index

    8 publications

    436 citations

  2. Stockholm University

    Stockholm, Sweden

    6 h-index

    6 publications

    392 citations

  3. Swedish National Bank

    Stockholm, Sweden

    6 h-index

    6 publications

    362 citations

  4. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    4 h-index

    5 publications

    626 citations

  5. The University of Melbourne

    Melbourne, Australia

    4 h-index

    6 publications

    165 citations

  6. National Bank of Belgium

    Brussels, Belgium

    3 h-index

    4 publications

    1.2K citations

  7. University of Liverpool

    Liverpool, United Kingdom

    3 h-index

    5 publications

    182 citations

  8. International Monetary Fund

    Washington D.C., United States

    3 h-index

    3 publications

    77 citations

1–8 of 118

Venues

  1. SSRN Electronic Journal

    Repository · 10 publications · 513 citations

    10

    h-index

  2. Journal of Econometrics

    8 publications · 495 citations

    8

    h-index

  3. Journal of Applied Econometrics

    7 publications · 969 citations

    7

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 6 publications · 134 citations

    6

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 4 publications · 122 citations

    4

    h-index

1–5