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 0304-4076Full text not available in this repository. (Request a copy from the Strathclyde author)
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.
|Keywords:||Bayesian, time varying cointegration, error correction model, reduced rank regression, Markov chain Monte Carlo, Economic Theory, History and Philosophy of Science, Economics and Econometrics, Applied Mathematics|
|Subjects:||Social Sciences > Economic Theory|
|Department:||Strathclyde Business School > Economics|
|Depositing user:||Pure Administrator|
|Date Deposited:||02 Nov 2011 13:52|
|Last modified:||02 Sep 2016 02:49|