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.
|Date of creation:||Oct 2009|
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010.
"Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks,"
International Journal of Forecasting,
Elsevier, vol. 26(2), pages 326-347, April.
- Markus Jochmann & Gary Koop & Rodney W. Strachan, 2008. "Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks," Working Paper Series 19_08, The Rimini Centre for Economic Analysis.
- Giordani, Paolo & Kohn, Robert, 2008.
"Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 26, pages 66-77, January.
- Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden).
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