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Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy

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  • Markus Jochmann
  • Gary Koop
  • Roberto Leon‐Gonzalez
  • Rodney W. Strachan

Abstract

This paper develops methods for Stochastic Search Variable Selection (currently popular with regression and Vector Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK macroeconomic model.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 28 (2013)
Issue (Month): 1 (01)
Pages: 62-81

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Handle: RePEc:wly:japmet:v:28:y:2013:i:1:p:62-81

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Cited by:
  1. Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Papers 1125, University of Strathclyde Business School, Department of Economics.
  2. SENBETA, Sisay Regassa, 2012. "How important are external shocks in explaining growth in Sub-Saharan Africa? Evidence from a Bayesian VAR," Working Papers 2012010, University of Antwerp, Faculty of Applied Economics.

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