Valid Bayesian Estimation of the Cointegrating Error Correction Model
提出一种贝叶斯方法，用于估计协整向量，确保估计结果始终有效，并提供了评估线性限制有效性的方法。
Two methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansen's maximum likelihood procedure. That the linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognized in several recent articles. Because all Bayesian studies to date have used linear restrictions, this article presents a Bayesian method for obtaining estimates of cointegrating vectors that will always be valid. In addition, it also presents an approach for evaluating the validity of linear restrictions.