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 0883-7252
Full text not available in this repository. (Request a copy from the Strathclyde author)Official URL: http://dx.doi.org/10.1002/jae.1238
Abstract
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.
| Item type: | Article |
|---|---|
| ID code: | 35556 |
| Keywords: | stochastic search, vector error correction models, macroeconomics, United Kingdom, Economic History and Conditions |
| Subjects: | Social Sciences > Economic History and Conditions |
| Department: | Strathclyde Business School > Economics |
| Related URLs: | |
| Depositing user: | Pure Administrator |
| Date Deposited: | 03 Nov 2011 05:22 |
| Last modified: | 04 Jul 2012 15:08 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/35556 |
Actions (login required)
| View Item |