Template-Type: ReDIF-Paper 1.0
Author-Name: Markus Jochmann
Author-Name-First: Markus
Author-Name-Last: Jochmann
Author-Email: markus.jochmann@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde
Author-Name: Gary Koop
Author-Name-First: Gary
Author-Name-Last: Koop
Author-Email: gary.koop@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde
Author-Name: Roberto  Leon-Gonzalez
Author-Name-First: Roberto 
Author-Name-Last: Leon-Gonzalez
Author-Email: rlg@grips.ac.jp
Author-Workplace-Name: National Graduate Institute for Policy Studies
Author-Name: Rodney  Strachan
Author-Name-First: Rodney 
Author-Name-Last: Strachan
Author-Email: r.strachan@uq.edu.au
Author-Workplace-Name: University of Queensland
Title: Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
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.
Length: 47 pages
Creation-Date: 2009-10
Revision-Date: 
Publication-Status: 
File-URL: http://www.strath.ac.uk/media/1newwebsite/departmentsubject/economics/research/researchdiscussionpapers/2009/09-19.pdf
File-Format: Application/pdf
Number: 0919
Classification-JEL: C11, C32, C52
Keywords: Bayesian, cointegration, model averaging, model selection, Markov chain Monte Carlo
Handle: RePEc:str:wpaper:0919