Bayesian Model Selection with an Uninformative Prior*
提出一种方法，在无主观先验信息的情况下，利用无信息先验对协整模型进行贝叶斯比较，并通过利率期限结构模型示例说明。
Abstract Bayesian model selection with posterior probabilities and no subjective prior information is generally not possible because of the Bayes factors being ill‐defined. Using careful consideration of the parameter of interest in cointegration analysis and a re‐specification of the triangular model of Phillips ( Econometrica , Vol. 59, pp. 283–306, 1991), this paper presents an approach that allows for Bayesian comparison of models of cointegration with ‘ignorance’ priors. Using the concept of Stiefel and Grassman manifolds, diffuse priors are specified on the dimension and direction of the cointegrating space. The approach is illustrated using a simple term structure of the interest rates model.