Koop, Gary and Leon-Gonzalez, Roberto and Strachan, Rodney (2011) Bayesian inference in a time varying cointegration model. Journal of Econometrics, 165 (2). pp. 210-220. ISSN 0304-4076
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper, we develop a new time varying parameter model which permits cointegration. We use a specification which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP–VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving the Fisher effect.
| Item type: | Article |
|---|---|
| ID code: | 35548 |
| Keywords: | Bayesian, time varying cointegration, error correction model, reduced rank regression, Markov chain Monte Carlo, Economic Theory |
| Subjects: | Social Sciences > Economic Theory |
| Department: | Strathclyde Business School > Economics |
| Related URLs: | |
| Depositing user: | Pure Administrator |
| Date Deposited: | 02 Nov 2011 13:52 |
| Last modified: | 12 Mar 2012 11:39 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/35548 |
Actions (login required)
| View Item |