Markus Jochmann () (Department of Economics, University of Strathclyde) Gary Koop () (Department of Economics, University of Strathclyde) Roberto Leon-Gonzalez () (National Graduate Institute for Policy Studies) Rodney W. Strachan () (University of Queensland)
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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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Paper provided by University of Strathclyde Business School, Department of Economics in its series Working Papers with number
09-19.