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. (2009) Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy. Discussion paper. University of Strathclyde, Glasgow.

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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:Monograph(Discussion paper)
    ID code:67795
    Dates:
    Date
    Event
    September 2009
    Published
    Notes:Published as a paper within the Discussion Papers in Economics, No. 09-19 (2009)
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:14 May 2019 10:15
    Last modified:09 Apr 2024 04:42
    URI:https://strathprints.strath.ac.uk/id/eprint/67795
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