Cointegration and dynamic simultaneous equations model

Article Abstract:

The validity of the essential issues concerning structural equation modeling presented by the Cowles Commission and its testing procedures are explained. The issues are the relationship between the multiple time series model and the structural equation with or without integration, the relevancy of the concept of identification for nonstationary data and whether the separation of long-run and short-run relationships need separate sets of identification conditions.

Research, Usage, Regression analysis, Least squares

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Large sample properties of posterior densities, Bayesian information criterion and the likelihood principle in nonstationary time series models

Article Abstract:

Inference modeled on the likelihood principle remains the same regardless of the data generated by a unit root process or by a stationary process. The asymptotic posterior normality is acquired in a linear time series model with unit roots. Moreover, the Bayesian statistical decision theory can be generalized in terms of possible nonstationarity based on the criterion for asymptotic posterior normality.

Econometrics & Model Building, Models, Econometrics, Bayesian statistical decision theory, Bayesian analysis, Business models, Time-series analysis, Time series analysis

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