BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
提出一种基于近似似然和Jeffreys先验的贝叶斯方法，用于推断分数协整关系，并通过马尔可夫链蒙特卡洛算法计算，应用于购买力平价关系发现支持均值回归的证据。
The concept of fractional cointegration, whereby deviations from an equilibrium relationship follow a fractionally integrated process, has attracted some attention of late. The extended concept allows cointegration to be associated with mean reversion in the error, rather than requiring the more stringent condition of stationarity. This paper presents a Bayesian method for conducting inference about fractional cointegration. The method is based on an approximation of the exact likelihood, with a Jeffreys prior being used to offset identification problems. Numerical results are produced via a combination of Markov chain Monte Carlo algorithms. The procedure is applied to several purchasing power parity relations, with substantial evidence found in favor of parity reversion.