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By using a flat\/diffuse prior, we show that the marginal posteriors of the parameters of interest (multipliers of the cointegrating vectors) may be nonintegrable and favor difference stationary models in an undesired way. To choose between stationary, cointegrated, and difference stationary models in a meaningful way, the Jeffreys prior principle is used. We investigate the sensitivity of the posterior results with respect to the construction of the Jeffreys prior. In this context, we also analyze the effect of fixed and stochastic initial values. The theoretical results are illustrated by using a VAR model for shortand long\u2013term interest rates in the United States.<\/jats:p>","DOI":"10.1017\/s0266466600008653","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T11:43:23Z","timestamp":1236685403000},"page":"514-551","source":"Crossref","is-referenced-by-count":60,"title":["On the Shape of the Likelihood\/Posterior in Cointegration Models"],"prefix":"10.1017","volume":"10","author":[{"given":"Frank","family":"Kleibergen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Herman K.","family":"van Dijk","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600008653_ref024","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(80)90030-5"},{"key":"S0266466600008653_ref023","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478707"},{"key":"S0266466600008653_ref019","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060402"},{"key":"S0266466600008653_ref017","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012408"},{"key":"S0266466600008653_ref016","volume-title":"Matrix Differential Calculus with Applications in Statistics and Economics","author":"Magnus","year":"1988"},{"key":"S0266466600008653_ref011","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1990.mp52002003.x"},{"key":"S0266466600008653_ref010","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"S0266466600008653_ref008","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(89)90030-4"},{"key":"S0266466600008653_ref005","volume-title":"Handbook of Econometrics","volume":"1","author":"Dr\u00e8ze","year":"1983"},{"key":"S0266466600008653_ref004","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(77)90004-5"},{"key":"S0266466600008653_ref002","doi-asserted-by":"publisher","DOI":"10.1086\/261502"},{"key":"S0266466600008653_ref020","volume-title":"Bayes Methods for Trending Multiple Time Series with an Empirical Application to the U.S. Economy","author":"Phillips","year":"1992"},{"key":"S0266466600008653_ref015","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-02691-5"},{"key":"S0266466600008653_ref013","article-title":"Direct cointegration testing in error correction models","author":"Kleibergen","journal-title":"Journal of Econometrics"},{"key":"S0266466600008653_ref014","doi-asserted-by":"publisher","DOI":"10.2307\/1913641"},{"key":"S0266466600008653_ref007","doi-asserted-by":"publisher","DOI":"10.2307\/1913710"},{"key":"S0266466600008653_ref022","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(91)90014-5"},{"key":"S0266466600008653_ref025","volume-title":"An Introduction to Bayesian Inference in Econometrics","author":"Zellner","year":"1971"},{"key":"S0266466600008653_ref018","doi-asserted-by":"publisher","DOI":"10.2307\/2938258"},{"key":"S0266466600008653_ref003","article-title":"Co-integration and trend-stationarity in macro-economic time series: Evidence from the likelihood function","author":"DeJong","journal-title":"Journal of Econometrics"},{"key":"S0266466600008653_ref021","doi-asserted-by":"publisher","DOI":"10.2307\/2951476"},{"key":"S0266466600008653_ref006","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"S0266466600008653_ref012","volume-title":"Bayesian Simultaneous Equation Model Analysis: On the Existence of Structural Posterior Moments","author":"Kleibergen","year":"1992"},{"key":"S0266466600008653_ref009","doi-asserted-by":"publisher","DOI":"10.1007\/BF00426760"},{"key":"S0266466600008653_ref001","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/64.2.355"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600008653","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,14]],"date-time":"2019-05-14T23:22:55Z","timestamp":1557876175000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600008653\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1994,8]]},"references-count":25,"journal-issue":{"issue":"3-4","published-print":{"date-parts":[[1994,8]]}},"alternative-id":["S0266466600008653"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600008653","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1994,8]]}}}