英文标题：
《Bayesian analysis of seasonally cointegrated VAR model》
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作者：
Justyna Wr\\\'oblewska
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最新提交年份：
2021
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英文摘要：
The paper aims at developing the Bayesian seasonally cointegrated model for quarterly data. We propose the prior structure, derive the set of full conditional posterior distributions, and propose the sampling scheme. The identification of cointegrating spaces is obtained \\emph{via} orthonormality restrictions imposed on vectors spanning them. In the case of annual frequency, the cointegrating vectors are complex, which should be taken into account when identifying them. The point estimation of the cointegrating spaces is also discussed. The presented methods are illustrated by a simulation experiment and are employed in the analysis of money and prices in the Polish economy.
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中文摘要：
本文旨在建立季度数据的贝叶斯季节协整模型。我们提出了先验结构，推导了全条件后验分布集，并提出了抽样方案。协整空间的识别是通过对跨越它们的向量施加{emph{via}正交性限制而得到的。在年频率的情况下，协整向量是复杂的，在识别它们时应该考虑到这一点。讨论了协整空间的点估计。所提出的方法通过模拟实验加以说明，并被用于分析波兰经济中的货币和价格。
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分类信息：

一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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