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.
ORCID iDs
Jochmann, Markus, Koop, Gary ORCID: https://orcid.org/0000-0002-6091-378X, Leon-Gonzalez, Roberto and Strachan, Rodney W.;-
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Item type: Monograph(Discussion paper) ID code: 67795 Dates: DateEventSeptember 2009PublishedNotes: 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: 26 Sep 2024 00:57 URI: https://strathprints.strath.ac.uk/id/eprint/67795