Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
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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| Date of creation: | Jan 2009 |
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| Handle: | RePEc:rim:rimwps:44_09 |
| Contact details of provider: | Postal: Via Patara, 3, 47921 Rimini (RN) Phone: +390541434142 Fax: +39054155431 Web page: http://www.rcfea.org Email: More information through EDIRC
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