Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
将Phillips（1991）的协整模型推广到允许I(0)、I(1)和I(2)过程，提出了一种贝叶斯推断方法，并应用于澳大利亚货币需求分析。
This paper generalizes the cointegrating model of Phillips (1991 Phillips , P. C. B. ( 1991 ). Optimal inference in cointegrated systems . Econometrica 59 : 283 – 306 .[Crossref], [Web of Science ®] , [Google Scholar]) to allow for I (0), I (1) and I (2) processes. The model has a simple form that permits a wider range of I (2) processes than are usually considered, including a more flexible form of polynomial cointegration. Further, the specification relaxes restrictions identified by Phillips (1991 Phillips , P. C. B. ( 1991 ). Optimal inference in cointegrated systems . Econometrica 59 : 283 – 306 .[Crossref], [Web of Science ®] , [Google Scholar]) on the I (1) and I (2) cointegrating vectors and restrictions on how the stochastic trends enter the system. To date there has been little work on Bayesian I (2) analysis and so this paper attempts to address this gap in the literature. A method of Bayesian inference in potentially I (2) processes is presented with application to Australian money demand using a Jeffreys prior and a shrinkage prior.