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Open Access research with a European policy impact...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the European Policies Research Centre (EPRC).

EPRC is a leading institute in Europe for comparative research on public policy, with a particular focus on regional development policies. Spanning 30 European countries, EPRC research programmes have a strong emphasis on applied research and knowledge exchange, including the provision of policy advice to EU institutions and national and sub-national government authorities throughout Europe.

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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.