Jochmann, Markus and Koop, Gary and Leon-Gonzalez, Roberto and Strachan, Rodney W. (2012) Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy. Journal of Applied Econometrics. ISSN 0883-7252Full text not available in this repository. (Request a copy from the Strathclyde author)
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.
|Keywords:||stochastic search, vector error correction models, macroeconomics, United Kingdom, Economic History and Conditions, Economics and Econometrics, Social Sciences (miscellaneous)|
|Subjects:||Social Sciences > Economic History and Conditions|
|Department:||Strathclyde Business School > Economics|
|Depositing user:||Pure Administrator|
|Date Deposited:||03 Nov 2011 05:22|
|Last modified:||06 Jan 2017 10:21|