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|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +44 (0)141 548 3842
Fax: +44 (0)141 548 4445
Web page: http://www.strath.ac.uk/economics/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:str:wpaper:0919. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kirsty Hall)
If references are entirely missing, you can add them using this form.