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Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy

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

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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, Economics and Econometrics, Social Sciences (miscellaneous)
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: 27 Mar 2014 09:48
URI: http://strathprints.strath.ac.uk/id/eprint/35556

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