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A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables for the(More)
This paper demonstrates that all rank test statistics are functions of implicit null space estimators. The paper proposes a novel theory of null space estimation that allows for standard asymptotics, polynomial regressions, and cointegration asymptotics. The paper proves that the behaviour of rank test statistics is completely governed by the implicit null(More)
The Big Data Era creates a lot of exciting opportunities for new developments in economics and econometrics. At the same time, however, the analysis of large datasets poses difficult methodological problems that should be addressed appropriately and are the subject of the present chapter. 14.1 Introduction 'Big Data' has become a buzzword both in academic(More)
This paper describes an effort underway to develop an operational concept and technical implementation for a User Defined Operational Picture (UDOP). The purpose of the UDOP capability is to create, visualize, and share decision-focused views of the operational environment for decision-makers to support accurate situation awareness and timely(More)
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